Archived publication

Archived publication

A multidimensional mixture model for unsupervised tail estimation

Holden, Lars; Haug, Ola; Aas, Kjersti

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