Computing portfolio risk using Gaussian mixtures and independent component analysis.
Elion ChinAndreas S. WeigendHeinz ZimmermannPublished in: CIFEr (1999)
Keyphrases
- independent component analysis
- gaussian mixture
- principal component analysis
- independent components
- factor analysis
- signal processing
- covariance matrix
- expectation maximization
- blind source separation
- em algorithm
- gaussian mixture model
- closed form
- independent subspace analysis
- mixture model
- maximum likelihood
- probability density function
- density estimation
- source separation
- face images
- image processing
- computer vision