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
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Updated 15 Jul 2015

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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
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Version Published Release Notes
1.0.0.0