Separating mixtures of probability distributions with the grid method of moments and the grid maximal likelihood method

Author:

Korolev V. Yu.,Nazarov A. L.

Publisher

Pleiades Publishing Ltd

Subject

Control and Systems Engineering,Electrical and Electronic Engineering

Reference13 articles.

1. Korolev, V.Yu., EM algoritm, ego modifikatsii i ikh primenenie k zadache razdeleniya smesei veroyatnostnykh raspredelenii. Teoreticheskii obzor (EM Algorithm, Its Modifications and Their Application to Probability Distribution Mixture Separation. A Survey), Moscow: Inst. Probl. Informatiki, 2007.

2. Korolev, V.Yu., Veroyatnostno-statisticheskii analiz khaoticheskikh protsessov s pomoshch’yu smeshannykh gaussovskikh modelei. Dekompozitsiya volatil’nosti finansovykh indeksov i turbulentnoi plazmy (Probabilistic and Statistical Analysis of Chaotic Processes with Gaussian Mixture Models. Decomposing the Volatility of Financial Indices and Turbulent Plasma), Moscow: Inst. Probl. Informatiki, 2007.

3. Korolev, V.Yu., Lomskoi, V.A., Presnyakov, N.N., et al., Analyzing Volatility Components with a Sliding Mixture Separation Method, in Sistemy i sredstva informatiki. Spets. vypusk (Systems and Means of Informatics. Special issue), Moscow: Inst. Probl. Informatiki, 2005.

4. Korolev, V.Yu., Nepomnyashchii, E.V., Rybal’chenko, A.G., et al., Grid methods for Separating Probability Distribution Mixtures and Their Applications to Decomposing the Volatility of Financial Indices, Informat. Primen., 2008, vol. 2, no. 2, pp. 2–17.

5. Tukey, J.W., A Survey of Sampling from Contaminated Distributions, in Contrib. Prob. Statist., Olkin, I., Ghurye, S.G., Hoeffding, W., Madow, W.G., and Mann, H.B., Eds., Stanford: Stanford Univ. Press., 1960, pp. 448–485.

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