ECM Algorithm for Auto-Regressive Multivariate Skewed Variance Gamma Model with Unbounded Density - Nitithumbundit, Thanakorn; Chan, Jennifer S. K. (Methodology and computing in applied probability, 2020)
Keywords: Algorithms; Business and Management; Density; Economics; Electrical Engineering; Life Sciences; Mathematical models; Mathematics and Statistics; Maximum likelihood estimates; Multivariate analysis; Parameter estimation; Parameter modification; Regression analysis; Standard error; Statistics; 62M10; 62F10; Unbounded likelihood; Multivariate skewed variance gamma distribution; Observed information matrix; Normal mean-variance representation; 91B84; EM algorithm; 62H12