Search Results - subject:"EM Algorithm"

Comfort: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - 2013

EM-algorithm is developed for estimation. Each element of the vector return at time t is endowed with a common univariate …

Persistent link: https://www.econbiz.de/10010256409

An Application of EM Test for the Bayesian Change Point Problem

Variyath A. M.; Vasudevan C. V. - In: Economic Quality Control 28 (2013) 1, pp. 57-69

follow an exponential family distribution. In this approach, the expectation – maximization (EM) algorithm was used for … estimating the process parameters. In general, the EM algorithm is computationally intensive and the optimality depends on the …

Persistent link: https://www.econbiz.de/10010736171

Finite mixtures of unimodal beta and gamma densities and the <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$k$$</EquationSource> </InlineEquation>-bumps algorithm

Bagnato, Luca; Punzo, Antonio - In: Computational Statistics 28 (2013) 4, pp. 1571-1597

proposed; it is used as an ad hoc initialization strategy in the EM algorithm to obtain the maximum likelihood estimation of …

Persistent link: https://www.econbiz.de/10010998503

Factor Analysis with EM Algorithm Never Gives Improper Solutions when Sample Covariance and Initial Parameter Matrices Are Proper

Adachi, Kohei - In: Psychometrika 78 (2013) 2, pp. 380-394

Rubin and Thayer (Psychometrika, 47:69–76, <CitationRef CitationID="CR16">1982</CitationRef>) proposed the EM algorithm …-factor correlations are positive definite. We further numerically demonstrate that the EM algorithm yields proper solutions for the data … asymmetric, so that the EM algorithm fails to converge. However, this problem can be overcome by using an EM algorithm in which …

Persistent link: https://www.econbiz.de/10010998778

Estimating depth of reasoning in a repeated guessing game with no feedback

Runco, Mariano - In: Experimental Economics 16 (2013) 3, pp. 402-413

This paper estimates depth of reasoning in an Iterative Best Response model using data from Weber (<CitationRef CitationID="CR20">2003</CitationRef>) ten-period repeated guessing game with no feedback. Different mixture models are estimated and the type (Level-0, Level-1, etc) of each player is determined in every round using the...</citationref>

Persistent link: https://www.econbiz.de/10010988970

On mixtures of skew normal and skew <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$t$$</EquationSource> </InlineEquation>-distributions

Lee, Sharon; McLachlan, Geoffrey - In: Advances in Data Analysis and Classification 7 (2013) 3, pp. 241-266

Finite mixtures of skew distributions have emerged as an effective tool in modelling heterogeneous data with asymmetric features. With various proposals appearing rapidly in the recent years, which are similar but not identical, the connection between them and their relative performance becomes...

Persistent link: https://www.econbiz.de/10010995291

Exponentiated Weibull–Poisson distribution: Model, properties and applications

Mahmoudi, Eisa; Sepahdar, Afsaneh - In: Mathematics and Computers in Simulation (MATCOM) 92 (2013) C, pp. 76-97

In this paper we propose a new four-parameters distribution with increasing, decreasing, bathtub-shaped and unimodal failure rate, called as the exponentiated Weibull–Poisson (EWP) distribution. The new distribution arises on a latent complementary risk problem base and is obtained by...

Persistent link: https://www.econbiz.de/10010751803

On a constrained mixture vector autoregressive model

Wong, C.S. - In: Mathematics and Computers in Simulation (MATCOM) 93 (2013) C, pp. 19-28

. First, a form of parameter constraints is introduced with an efficient EM algorithm for estimation. Second, an accurate …

Persistent link: https://www.econbiz.de/10010751806

Estimation of the preference heterogeneity within stated choice data using semiparametric varying-coefficient methods

Hoshino, Tadao - In: Empirical Economics 45 (2013) 3, pp. 1129-1148

This study proposes the use of semiparametric varying-coefficient methods to estimate the preference heterogeneity within stated choice data. Semiparametric varying-coefficient methods have the potential to overcome the disadvantages of conventional random parameter models and latent class...

Persistent link: https://www.econbiz.de/10010794006

Latent variable models for ordinal data by using the adaptive quadrature approximation

Cagnone, Silvia; Monari, Paola - In: Computational Statistics 28 (2013) 2, pp. 597-619

Latent variable models for ordinal data represent a useful tool in different fields of research in which the constructs of interest are not directly observable so that one or more latent variables are required to reduce the complexity of the data. In these cases problems related to the...

Persistent link: https://www.econbiz.de/10010847588