An Application of the EM-algorithm to Approximate Empirical Distributions of Financial Indices with the Gaussian Mixtures.
Sergey TarasenkoPublished in: CoRR (2016)
Keyphrases
- gaussian mixture
- em algorithm
- expectation maximization
- mixture model
- maximum likelihood
- gaussian mixture model
- generative model
- parameter estimation
- hyperparameters
- maximum likelihood estimation
- probability density function
- mixture of gaussians
- log likelihood
- mixture modeling
- maximum a posteriori
- expectation maximisation
- closed form
- density estimation
- information retrieval
- probabilistic model
- gaussian process
- covariance matrix
- denoising
- high dimensional