Elliptically contoured models in statistics and portfolio theory Arjun K. Gupta, Tamas Varga, Taras Bodnar

Format:

Book

Author/Creator:

Gupta, A. K. (Arjun K.), 1938- author.

Varga, T. (Tamas), 1960- author.

Bodnar, Taras, author.

Language:

English

Subjects (All):

Distribution (Probability theory).

Multivariate analysis.

Portfolio management--Mathematical models.

Portfolio management.

Multivariate Analysis.

distribution (statistics-related concept).

Medical Subjects:

Multivariate Analysis.

Genre:

dissertations

Academic theses

Physical Description:

1 online resource

Edition:

Second edition

Place of Publication:

New York Springer 2013

Language Note:

English

System Details:

text file

PDF

Summary:

Elliptically Contoured Models in Statistics and Portfolio Theory fully revises the first detailed introduction to the theory of matrix variate elliptically contoured distributions. There are two additional chapters, and all the original chapters of this classic text have been updated. Resources in this book will be valuable for researchers, practitioners, and graduate students in statistics and related fields of finance and engineering. Those interested in multivariate statistical analysis and its application to portfolio theory will find this text immediately useful. In multivariate statistical analysis, elliptical distributions have recently provided an alternative to the normal model. Elliptical distributions have also increased their popularity in finance because of the ability to model heavy tails usually observed in real data. Most of the work, however, is spread out in journals throughout the world and is not easily accessible to the investigators. A noteworthy function of this book is the collection of the most important results on the theory of matrix variate elliptically contoured distributions that were previously only available in the journal-based literature. The content is organized in a unified manner that can serve an a valuable introduction to the subject

Contents:

Preliminaries Basic Properties Probability Density Function and Expected Values Mixtures of Normal Distributions Quadratic Forms and other Functions of Elliptically Contoured Matrices Characterization Results Estimation Hypothesis Testing Linear Models Skew Elliptically Contoured Distributions Application in Portfolio Theory

Notes:

Includes bibliographical references and indexes

Print version record

Other Format:

Print version Gupta, A.K. (Arjun K.), 1938- Elliptically contoured models in statistics and portfolio theory.

ISBN:

9781461481546

1461481546

1461481538

9781461481539

9781306163668

1306163668

OCLC:

858276504

Access Restriction:

Restricted for use by site license