Tyler's M-estimator, random matrix theory, and generalized elliptical distributions with applications to finance
Year of publication: |
2007
|
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Authors: | Frahm, Gabriel ; Jaekel, Uwe |
Publisher: |
Cologne : University of Cologne, Seminar of Economic and Social Statistics |
Subject: | Zeitreihenanalyse | Matrizenrechnung | Schätztheorie | Finanzmarkt | Statistische Verteilung | Theorie |
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