Archived publication
Archived publication
A multidimensional mixture model for unsupervised tail estimation
December 15, 2006
SAMBA
- Areas: Statistics for Finance, Insurance and Commodity Markets
- Keywords: Mixing functions, Heavy and light tailed distributions, Maximum likelihood, Mixture models
- Page(s): 24
- Name and number of project: SIP-FIR 830105
- Title: A multidimensional mixture model for unsupervised tail estimation
- Author(s): Holden, Lars; Haug, Ola; Aas, Kjersti
- Report number: SAMBA/34/06
- Published date: December 15, 2006