Median modification of EM- and SEM-algorithms for separation ofmixtures of probability distributions and their application to the decomposition of volatility of financial time series
Abstract:
Median modofications of EM- and SEM-algorithms are proposed for separation of mixtures of normal distributions. The advantages of the proposed algorithms over standard methods are illustrated by the numerical solution of the problem of decomposition of volatility of financial indices.
Keywords:separation mixtures of probability distributions; robustness; efficiency; EM-algorithm; SEM-algorithm; volatility.