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EM Algorithm for Stable Distributions by ShauePpsh Shpsh is a document available to read on EtoBox.
What is EM Algorithm for Stable Distributions about?
This paper presents an extension of the EM algorithm for parameter estimation of symmetric α-stable distributions and sub-Gaussian random vectors. The proposed method is compared with traditional techniques such as maximum likelihood and empirical characteristic function, demonstrating superior performance, especially when α is near one. The study includes simulations and real data applications to validate the effectiveness of the EM algorithm in both univariate and multivariate contexts.
- Author
- ShauePpsh Shpsh
- Language
- EN