Median Modifications of the EM-Algorithm for Separation of Mixtures of Probability Distributions and Their Applications to the Decomposition of Volatility of Financial Indexes*
Publication type: Journal Article
Publication date: 2017-10-11
scimago Q3
SJR: 0.280
CiteScore: 0.7
Impact factor: —
ISSN: 10723374, 15738795
General Mathematics
Statistics and Probability
Applied Mathematics
Abstract
In this paper we propose the median modifications of the EM-algorithm and demonstrate their advantages in comparison with conventional methods by the example dealing with the numerical solution of the problem of decomposition of the volatility of financial indexes. We provide examples of volatility decompositions for AMEX, CAC 40, NIKKEI, and NASDAQ indexes.
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Total citations:
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Citations from 2024:
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(14.29%)
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Gorshenin A. K. et al. Median Modifications of the EM-Algorithm for Separation of Mixtures of Probability Distributions and Their Applications to the Decomposition of Volatility of Financial Indexes* // Journal of Mathematical Sciences. 2017. Vol. 227. No. 2. pp. 176-195.
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Gorshenin A. K., Korolev V. Y., Tursunbaev A. M. Median Modifications of the EM-Algorithm for Separation of Mixtures of Probability Distributions and Their Applications to the Decomposition of Volatility of Financial Indexes* // Journal of Mathematical Sciences. 2017. Vol. 227. No. 2. pp. 176-195.
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RIS
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TY - JOUR
DO - 10.1007/s10958-017-3584-0
UR - https://doi.org/10.1007/s10958-017-3584-0
TI - Median Modifications of the EM-Algorithm for Separation of Mixtures of Probability Distributions and Their Applications to the Decomposition of Volatility of Financial Indexes*
T2 - Journal of Mathematical Sciences
AU - Gorshenin, A K
AU - Korolev, V. Yu.
AU - Tursunbaev, A M
PY - 2017
DA - 2017/10/11
PB - Springer Nature
SP - 176-195
IS - 2
VL - 227
SN - 1072-3374
SN - 1573-8795
ER -
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BibTex (up to 50 authors)
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@article{2017_Gorshenin,
author = {A K Gorshenin and V. Yu. Korolev and A M Tursunbaev},
title = {Median Modifications of the EM-Algorithm for Separation of Mixtures of Probability Distributions and Their Applications to the Decomposition of Volatility of Financial Indexes*},
journal = {Journal of Mathematical Sciences},
year = {2017},
volume = {227},
publisher = {Springer Nature},
month = {oct},
url = {https://doi.org/10.1007/s10958-017-3584-0},
number = {2},
pages = {176--195},
doi = {10.1007/s10958-017-3584-0}
}
Cite this
MLA
Copy
Gorshenin, A. K., et al. “Median Modifications of the EM-Algorithm for Separation of Mixtures of Probability Distributions and Their Applications to the Decomposition of Volatility of Financial Indexes*.” Journal of Mathematical Sciences, vol. 227, no. 2, Oct. 2017, pp. 176-195. https://doi.org/10.1007/s10958-017-3584-0.
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