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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 Edition. 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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