Search Results - subject:"Elliptical Distributions"

Linear Conditional Expectation for Discretized Distributions

Tarpey, Thaddeus; Sanders, Richard - In: Journal of Applied Statistics 31 (2004) 3, pp. 361-372

Many statistical methods for continuous distributions assume a linear conditional expectation. Components of multivariate distributions are often measured on a discrete ordinal scale based on a discretization of an underlying continuous latent variable. The results in this paper show that common...

Persistent link: https://www.econbiz.de/10005495272

Modelling Directional Dispersion Through Hyperspherical Log- Splines

Ferreira, J.T.A.S.; Steel, M.F.J. - EconWPA - 2004

We introduce the directionally dispersed class of multivariate distributions, a generalisation of the elliptical class. By allowing dispersion of multivariate random variables to vary with direction it is possible to generate a very wide and flexible class of distributions. Directionally...

Persistent link: https://www.econbiz.de/10005407954

On influence diagnostic in univariate elliptical linear regression models

Galea, Manuel; Paula, Gilberto; Uribe-Opazo, Miguel - In: Statistical Papers 44 (2003) 1, pp. 23-45

Persistent link: https://www.econbiz.de/10005167177

Parallel Principal Axes

Tarpey, Thaddeus - In: Journal of Multivariate Analysis 75 (2000) 2, pp. 295-313

class of elliptical distributions, it is shown that self-consistency of parallel principal axes characterizes normality …

Persistent link: https://www.econbiz.de/10005006492

Inferences on Correlation Coefficients in Some Classes of Nonnormal Distributions

Yuan, Ke-Hai; Bentler, Peter M. - In: Journal of Multivariate Analysis 72 (2000) 2, pp. 230-248

Correlation coefficients have many applications for studying the relationship among multivariate observations. Classical inferences on correlation coefficients are mainly based on the normality assumption. This assumption is hardly realistic in the real world, which implies that the procedures...

Persistent link: https://www.econbiz.de/10005006578

Bayesian analysis of nonlinear regression with equicorrelated elliptical errors

Osiewalski, Jacek - In: TEST: An Official Journal of the Spanish Society of … 8 (1999) 2, pp. 339-344

Persistent link: https://www.econbiz.de/10005390571

A Note on the Comedian for Elliptical Distributions

Falk, Michael - In: Journal of Multivariate Analysis 67 (1998) 2, pp. 306-317

robust alternative to[rho]. We show that this result, which is not true in general, extends to elliptical distributions even …

Persistent link: https://www.econbiz.de/10005221522

Elliptical Functional Models

Vilca-Labra, F.; Arellano-Valle, R. B.; Bolfarine, H. - In: Journal of Multivariate Analysis 65 (1998) 1, pp. 36-57

elliptical distributions. Asymptotic relative efficiencies are reported which show that the generalized least squares estimator …In this paper, functional models with not replications are investigated within the class of the elliptical … distributions. Emphasis is placed on the special case of the Student-t distribution. Main results encompasses consistency and …

Persistent link: https://www.econbiz.de/10005199474

Portfolio Selection and Asset Pricing---Three-Parameter Framework

Simaan, Yusif - In: Management Science 39 (1993) 5, pp. 568-577

Idiosyncratic security risks are modelled as following a joint spherical distribution characterized by a mean vector and a generalized covariance matrix. Skewness is generated by a single factor for the whole economy, but upon which different securities have different loadings. This results in...

Persistent link: https://www.econbiz.de/10009208631

Minimax estimators for location vectors in elliptical distributions with unknown scale parameter and its application to variance reduction in simulation

Tan, M.; Gleser, L. - In: Annals of the Institute of Statistical Mathematics 44 (1992) 3, pp. 537-550

Persistent link: https://www.econbiz.de/10005395647