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JOURNALS // Informatika i Ee Primeneniya [Informatics and its Applications] // Archive

Inform. Primen., 2008 Volume 2, Issue 4, Pages 12–47 (Mi ia109)

This article is cited in 17 papers

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

A. K. Gorshenina, V. Yu. Korolevba, A. M. Tursunbayeva

a M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
b Institute for Problems of Informatics RAS

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.



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