Tail-thickness in terms of COV(\(X_{j}^{2}\),\(X_{p}^{2}\)) in the class of elliptical distributions.

DOI10.1016/S0378-3758(03)00118-6zbMath1037.62046MaRDI QIDQ1427515

Jiro Hodoshima

Publication date: 14 March 2004

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

CovarianceElliptical distributionKurtosisTail-thickness

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (1)

The Asymptotic Covariance Matrix of the Least Squares Estimator in the Stochastic Linear Regression Model: The Case of Elliptically Symmetric Distribution

Cites Work

• Asymmetric Laplace laws and modeling financial data
• Estimation and decision for linear systems with elliptical random processes
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