Approximation of the variance gamma model with a finite mixture of normals

Angela Loregian, Lorenzo Mercuri () and Edit Rroji

Statistics & Probability Letters, 2012, vol. 82, issue 2, 217-224

Abstract: We investigate the possibility of approximating the variance gamma distribution with a finite mixture of normals. Therefore, we apply this result to derive a simple historical estimation procedure by means of the Expectation Maximization algorithm.

Keywords: Variance gamma distribution; Finite mixture; EM algorithm (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:82:y:2012:i:2:p:217-224

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DOI: 10.1016/j.spl.2011.10.004

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