Financial Statistics
The discussion of computing statistical values for portfolios
containing missing data elements derives from the following references:
[23] Little, Roderick J.A. and Donald B. Rubin, Statistical
Analysis with Missing Data, 2nd ed., John Wiley & Sons,
Inc., 2002.
[24] Meng, Xiao-Li, and Donald B. Rubin, "Maximum Likelihood
Estimation via the ECM Algorithm," Biometrika,
Vol. 80, No. 2, 1993, pp. 267-278.
[25] Sexton, Joe and Anders Rygh Swensen, "ECM Algorithms
That Converge at the Rate of EM," Biometrika,
Vol. 87, No. 3, 2000, pp. 651-662.
[26] Dempster, A.P., N.M. Laird, and Donald B. Rubin, "Maximum
Likelihood from Incomplete Data via the EM Algorithm," Journal
of the Royal Statistical Society, Series B, Vol. 39, No.
1, 1977, pp. 1-37.
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