As is well known, the likelihood in the Gaussian mixture is unbounded for any parameters such that a Dirac is placed at any observed sample point. The behavior of the EM algorithm near a degenerated solution is studied. It is established that there exists a domain of attraction around degeneracy...

A new approach to species distribution modelling based on unsupervised classification via a finite mixture of GAMs incorporating habitat suitability curves is proposed. A tailored EM algorithm is outlined for computing maximum likelihood estimates. Several submodels incorporating various...

This paper investigates the relationship between federal election outcomes and expected returns and volatilities in the Canadian money, bond, equity and currency markets from 1951 to 2006. There is little evidence that investment opportunities are different in minority versus majority...

This study examines 16 models of monthly Value-at-Risk (VaR) for three equity indices with an emphasis on the filtered historical simulation (FHS) technique. We investigate the importance of historical simulation versus a parametrized approach, the presence of filter versus a static modeling of...

The estimation of multivariate GARCH time series models is a difficult task mainly due to the excessive parametrization exhibited by the problem, usually referred to as the “curse of dimensionality”. For the VEC family, the number of parameters involved in the model grows as a polynomial of...