Investigation of multivariate pairs trading under copula approach with mixture distribution.
Fuli HeAli YarahmadiFazlollah SoleymaniPublished in: Appl. Math. Comput. (2024)
Keyphrases
- mixture distribution
- dependence structure
- normal distribution
- statistical model
- em algorithm
- generalized gaussian
- gaussian mixture model
- probability density function
- expectation maximization
- regression model
- marginal distributions
- mixture model
- object recognition
- standard deviation
- gaussian mixture
- joint distribution
- language model