Search Results - subject:"EM algorithm" - EconBiz

Estimation and inference for high dimensional factor model with regime switching

Urga, Giovanni; Wang, Fa - In: Journal of econometrics 241 (2024) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10015075174

Fitting Tweedie's compound Poisson model to pure premium with the EM algorithm

Gao, Guangyuan - In: Insurance : mathematics and economics 114 (2024), pp. 29-42

Persistent link: https://www.econbiz.de/10015049354

A truncated mixture transition model for interval-valued time series

Luo, Yun; González-Rivera, Gloria - 2024

Persistent link: https://www.econbiz.de/10015338771

An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount

Tzougas, George; Jeong, Himchan - In: Risks 9 (2021) 1, pp. 1-17

This article presents the Exponential-Generalized Inverse Gaussian regression model with varying dispersion and shape. The EGIG is a general distribution family which, under the adopted modelling framework, can provide the appropriate level of flexibility to fit moderate costs with high...

Persistent link: https://www.econbiz.de/10013200689

Essays on economic sentiment dynamics and asymmetric multifractal models of financial volatility

Sushko, Stepan S. - 2021

Persistent link: https://www.econbiz.de/10012940057

An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount

Tzougas, George; Jeong, Himchan - In: Risks : open access journal 9 (2021) 1/19, pp. 1-17

This article presents the Exponential-Generalized Inverse Gaussian regression model with varying dispersion and shape. The EGIG is a general distribution family which, under the adopted modelling framework, can provide the appropriate level of flexibility to fit moderate costs with high...

Persistent link: https://www.econbiz.de/10012423047

Time-varying mixture copula models with copula selection

Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, … - 2021

Persistent link: https://www.econbiz.de/10012602628

Learning human activity patterns using clustered point processes with active and inactive states

Zhang, Jingfei; Cai, Biao; Zhu, Xuening; Wang, Hansheng; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 388-398

Persistent link: https://www.econbiz.de/10014448179

On the information content of implied liquidity measure : Evidence from the S&P 500 index options

Yerli, Cigdem; Eksi-Altay, Zehra; Selcuk-Kestel, A. Sevtap - In: Finance research letters 57 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014507814

Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models

Fresoli, Diego; Poncela, Pilar; Ruiz, Esther - In: Economics letters 230 (2023), pp. 1-5

Persistent link: https://www.econbiz.de/10014460331

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