Measures of dependence for the multivariate t distribution with applications to the stock market
From MaRDI portal
Publication:4246301
DOI10.1080/03610929808832268zbMath0924.62065OpenAlexW2017808405MaRDI QIDQ4246301
Publication date: 9 November 1999
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610929808832268
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical aspects of information-theoretic topics (62B10)
Related Items (5)
Symmetrical independence tests for two random vectors with arbitrary dimensional graphs ⋮ Discrimination of observations into one of two elliptic populations based on monotone training samples ⋮ Independent Component Analysis and Immunization: An Exploratory Study ⋮ Dimensionless Measures of Variability and Dependence for Multivariate Continuous Distributions ⋮ Mathematical properties of the multivariate \(t\) distribution
Cites Work
- Unnamed Item
- A generalization of the Wishart distribution for the elliptical model and its moments for the multivariate t model
- An asymptotic test of independence for multivariate \(t\) and Cauchy random variables with applications
- A measure of total variability for the multivariate \(t\) distribution with applications to finance
- An informational measure of correlation
- Estimation of the parameters of a regression model with a multivariate t error variable
- Relative Entropy Measures of Multivariate Dependence
- Estimation of regression parameters in generalized linear models for cluster correlated data with measurement error
- Multivariate mutual information
This page was built for publication: Measures of dependence for the multivariate t distribution with applications to the stock market
