An approach to VaR for capital markets with Gaussian mixture.
Ming-Heng ZhangQianSheng ChengPublished in: Appl. Math. Comput. (2005)
Keyphrases
- gaussian mixture
- closed form
- mixtures of gaussians
- em algorithm
- gaussian mixture model
- probability density function
- covariance matrix
- expectation maximization
- probability density
- mixture model
- density estimation
- gaussian density
- kl divergence
- mixture of gaussians
- natural images
- higher order
- object recognition
- image processing
- mixture distributions
- data mining