A measure of total variability for the multivariate \(t\) distribution with applications to finance

DOI10.1016/0020-0255(96)00044-8zbMath0882.62005OpenAlexW1987417645MaRDI QIDQ1373382

José-Luis Guerrero-Cusumano

Publication date: 17 December 1997

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0020-0255(96)00044-8

zbMATH Keywords

entropymultivariateCauchy distributions

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical aspects of information-theoretic topics (62B10)

Related Items

Dependency Reduction with Divisive Normalization: Justification and Effectiveness ⋮ Mutual information as a measure of multivariate association: analytical properties and statistical estimation ⋮ Sampling distributions associated with the multivariate t distribution ⋮ Maximum entropy models for general lag patterns ⋮ An asymptotic test of independence for multivariate \(t\) and Cauchy random variables with applications ⋮ On some entropy and divergence type measures of variability and dependence for mixed continuous and discrete variables ⋮ Dimensionless Measures of Variability and Dependence for Multivariate Continuous Distributions ⋮ Mathematical properties of the multivariate \(t\) distribution ⋮ Multivariate exponential families and the Taguchi loss function ⋮ Measures of dependence for the multivariate t distribution with applications to the stock market

Cites Work

• Unnamed Item
• Unnamed Item
• Estimation of the parameters of a regression model with a multivariate t error variable
• Entropy expressions and their estimators for multivariate distributions
• Quadratic Approximations of the Portfolio Selection Problem When the Means and Variances of Returns are Infinite
• On the entropy of continuous probability distributions (Corresp.)
• A BIVARIATE GENERALIZATION OF STUDENT'S t-DISTRIBUTION, WITH TABLES FOR CERTAIN SPECIAL CASES

This page was built for publication: A measure of total variability for the multivariate \(t\) distribution with applications to finance