Search Results - subject:"Elliptical distribution"

Comparison, utility, and partition of dependence under absolutely continuous and singular distributions

Ebrahimi, Nader; Jalali, Nima Y.; Soofi, Ehsan S. - In: Journal of Multivariate Analysis 131 (2014) C, pp. 32-50

This paper first illustrates that a mutual information index detects and ranks dependence of a wide variety of absolutely continuous families, but the popular association and variance reduction indices fail to serve as such “common metrics”. We then elaborate on some theoretical merits of...

Persistent link: https://www.econbiz.de/10011042048

The joint distribution of Studentized residuals under elliptical distributions

Iwashita, Toshiya; Klar, Bernhard - In: Journal of Multivariate Analysis 128 (2014) C, pp. 203-209

Scaled and Studentized statistics are encountered frequently, and they often play a decisive role in statistical inference and testing. For instance, taking the sample mean vector X̄=∑j=1NXj/N and the sample covariance matrix S=∑j=1N(Xj−X̄)(Xj−X̄)′/(N−1) for an iid sample...

Persistent link: https://www.econbiz.de/10011042091

A Method of Moments Estimator of Tail Dependence

Einmahl, John; Krajina, A.; Segers, J.J.J. - Tilburg University, Center for Economic Research - 2007

AMS 2000 subject classifications: 60G70, 62H12, 62H15, 62F05, 62F12, 62F25.

Persistent link: https://www.econbiz.de/10011091710

Multivariate tail copula: modeling and estimation

Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang - 2006

In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...

Persistent link: https://www.econbiz.de/10010266194

Estimating tail dependence of elliptical distributions

Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang - 2006

conditions, Hult and Lindskog (2002) showed that a random vector with an elliptical distribution is in the domain of attraction …, which are based on extreme value theory and the structure of an elliptical distribution, respectively. After deriving second … the structure of an elliptical distribution is better than that based on extreme value theory in terms of both asymptotic …

Persistent link: https://www.econbiz.de/10010266221

Using Bootstrap to Test Portfolio Efficiency

Chou, Pin-Huang; Zhou, Guofu - In: Annals of Economics and Finance 7 (2006) 2, pp. 217-249

To facilitate wide use of the bootstrap method in finance, this paper shows by intuitive arguments and by simulations how it can improve upon existing tests to allow less restrictive distributional assumptions on the data and to yield more reliable (higher-order accurate) asymptotic inference....

Persistent link: https://www.econbiz.de/10009228665

Linear regression models with slash-elliptical errors

Alcantara, Izabel Cristina; Cysneiros, Francisco José A. - In: Computational Statistics & Data Analysis 64 (2013) C, pp. 153-164

We propose a linear regression model with slash-elliptical errors. The slash-elliptical distribution with parameter q … is defined as the ratio of two independent random variables Z and U1q, where Z has elliptical distribution and U has … uniform distribution in (0,1). The main feature of the slash-elliptical distribution is to have greater flexibility in the …

Persistent link: https://www.econbiz.de/10011056423

Extremal t processes: Elliptical domain of attraction and a spectral representation

Opitz, T. - In: Journal of Multivariate Analysis 122 (2013) C, pp. 409-413

The extremal t process was proposed in the literature for modeling spatial extremes within a copula framework based on the extreme value limit of elliptical t distributions (Davison et al. (2012) [5]). A major drawback of this max-stable model was the lack of a spectral representation such that...

Persistent link: https://www.econbiz.de/10011042001

Scale mixtures of Kotz–Dirichlet distributions

Balakrishnan, N.; Hashorva, E. - In: Journal of Multivariate Analysis 113 (2013) C, pp. 48-58

In this paper, we first show that a k-dimensional Dirichlet random vector has independent components if and only if it is a Kotz Type I Dirichlet random vector. We then consider in detail the class of k-dimensional scale mixtures of Kotz–Dirichlet random vectors, which is a natural extension...

Persistent link: https://www.econbiz.de/10010588056

Optimal capital allocation based on the Tail Mean–Variance model

Xu, Maochao; Mao, Tiantian - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 533-543

This paper studies capital allocation problems with the aggregate risk exceeding a certain threshold. We propose a novel capital allocation rule based on the Tail Mean–Variance principle. General formulas for the optimal capital allocations are proposed. Explicit formulas for optimal capital...

Persistent link: https://www.econbiz.de/10010719107