Estimation of Variance Gamma distribution by EM algorithm

Version 1.0.0.0 (13.2 KB) by lorenzo Mercuri
We provide a code for estimating the Variance Gamma distribution using EM algorithm
0.0
(0)
296 Downloads
Updated 15 Jul 2015

View License

The estimation algorithm for the Variance Gamma distribution proposed in http://www.sciencedirect.com/science/article/pii/S0167715211003257 is based on the observation that the VG density is approximated by a finite mixture of Normals. The weights are derived using the roots of the Laguerre polynomials.

Cite As

lorenzo Mercuri (2026). Estimation of Variance Gamma distribution by EM algorithm (https://uk.mathworks.com/matlabcentral/fileexchange/52161-estimation-of-variance-gamma-distribution-by-em-algorithm), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Tags Add Tags

Version Published Release Notes
1.0.0.0