Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility
Sign Up to like & getrecommendations! Published in 2019 at "Finance Research Letters"
DOI: 10.1016/j.frl.2018.04.006
Abstract: Abstract We evaluate a utility indifference price with an exponential utility function, which we call a risk-sensitive value measure, under a normal mixture distribution with time-varying volatility. We compare the risk-sensitive value measure and mean-variance… read more here.
Keywords: time varying; mixture distribution; distribution time; utility indifference ... See more keywords
Confidence limits for conformance proportions in normal mixture models
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DOI: 10.1080/02664763.2020.1769578
Abstract: Conformance proportions are important numerical indices for quality assessments. When the population is characterized by a normal mixture model, estimating conformance proportions can be a practical issue. To account for the inherent structure of normal… read more here.
Keywords: conformance; normal mixture; conformance proportions; mixture models ... See more keywords
A simple root selection method for univariate finite normal mixture models
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DOI: 10.1080/03610926.2018.1481972
Abstract: Abstract– It is well known that there exist multiple roots of the likelihood equations for finite normal mixture models. Selecting a consistent root for finite normal mixture models has long been a challenging problem. Simply… read more here.
Keywords: normal mixture; method; finite normal; root selection ... See more keywords
A Revision of the Traditional Analysis Method of Allometry to Allow Extension of the Normality-Borne Complexity of Error Structure: Examining the Adequacy of a Normal-Mixture Distribution-Driven Error Term
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DOI: 10.1155/2022/8310213
Abstract: Huxley's model of simple allometry provides a parsimonious scheme for examining scaling relationships in scientific research, resource management, and species conservation endeavors. Factors including biological error, analysis method, sample size, and overall data quality can… read more here.
Keywords: normal mixture; error term; term; analysis ... See more keywords
A CLASSICAL INVARIANCE APPROACH TO THE NORMAL MIXTURE PROBLEM
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DOI: 10.5705/ss.202016.0483
Abstract: Although normal mixture models have received great attention and are commonly used in different fields, they stand out for failing to have a finite maximum on the likelihood. In the univariate case, there are n… read more here.
Keywords: invariance approach; likelihood; problem; normal mixture ... See more keywords