Applying the Separation of Probability Distribution Mixtures to Problems of Financial Analysis

被引：1

作者：

A. O. Lagno

I. S. Kuz’min

机构：

[1] Department of Computational Mathematics and Cybernetics,

[2] Moscow State University,undefined

[3] Department of Economics,undefined

[4] Moscow State University,undefined

来源：

Moscow University Computational Mathematics and Cybernetics | 2023年 / 47卷 / 3期

关键词：

stochastic differential equations; finite mixtures of normal distributions; optimizing to separate a mixture of probability distributions; volatility; value-at-risk estimate;

D O I：

10.3103/S0278641923030056

中图分类号：

学科分类号：

摘要：

引用

页码：145 / 159

页数：14

共 7 条

[1]

Korolev V. Yu.(2010)Separating mixtures of probability distributions with the grid method of moments and the grid maximal likelihood method Autom. Remote Control 71 455-472

[2]

Nazarov A. L.(2012)Nonparametric estimation of the density of a mixture of probability laws Sist. Sredstva Inf. 22 197-226

[3]

Korolev V. Yu.(1998)Uncertain parameters, an empirical stochastic volatility model and confidence limits Int. J. Theor. Appl. Finance 1 175-189

[4]

Korchagin A. Yu.(undefined)undefined undefined undefined undefined-undefined

[5]

Moreva O. A.(undefined)undefined undefined undefined undefined-undefined

[6]

Wilmott P.(undefined)undefined undefined undefined undefined-undefined

[7]

Oztukel A.(undefined)undefined undefined undefined undefined-undefined

← 1 →