Informatics and Applications
2014, Volume 8, Issue 4, pp 11-19
A MODIFIED GRID METHOD FOR STATISTICAL SEPARATION OF NORMAL VARIANCE-MEAN MIXTURES
- V. Yu. Korolev
- A. Yu. Korchagin
Abstract
A modified two-stage grid method for statistical separation of normal variance-mean mixtures is described as an alternative to a pure EM (expectation-maximization) algorithm. At the first stage of this algorithm, a discrete approximation is constructed to the mixing distribution. At the second stage, the obtained discrete distribution is approximated by an absolutely continuous distribution from a predetermined family, say, by a generalized inverse Gaussian distribution. The convergence of this two-stage procedure is discussed. The monotonicity of the grid procedure used at the first stage is proved. The problem of the optimal choice of the parameters of the method is discussed in detail. First of all, the problem of the optimal choice of the grid thrown on the support of the mixing distribution is considered. Statistical estimators are proposed for the quantiles of the mixing law. The efficiency of the method is illustrated by examples of its application to the estimation of the parameters of generalized hyperbolic distributions.
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[+] About this article
Title
A MODIFIED GRID METHOD FOR STATISTICAL SEPARATION OF NORMAL VARIANCE-MEAN MIXTURES
Journal
Informatics and Applications
2014, Volume 8, Issue 4, pp 11-19
Cover Date
2014-10-30
DOI
10.14357/19922264140402
Print ISSN
1992-2264
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
mixture of probability distributions; normal variance-mean mixture; generalized hyperbolic distribution; EM-algorithm; grid method of separation of mixtures
Authors
V. Yu. Korolev  ,  and A. Yu. Korchagin1
Author Affiliations
Faculty of Computational Mathematics and Cybernetics, M.V. Lomonosov Moscow State University, 1-52 Leninskiye Gory, GSP-1, Moscow 119991, Russian Federation
Federation
Institute of Informatics Problems, Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian
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