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  • Search: subject:"Multivariate normal"
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Year of publication
Subject
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Multivariate normal distribution 33 multivariate normal distribution 19 Statistical distribution 17 Statistische Verteilung 17 Theorie 12 Theory 12 Multivariate Analyse 11 Multivariate analysis 11 multivariate normal 10 Multivariate normal 8 Option pricing theory 6 Optionspreistheorie 6 Portfolio selection 6 Portfolio-Management 6 Probability theory 6 Stochastic process 6 Stochastischer Prozess 6 Wahrscheinlichkeitsrechnung 6 Halton sequences 5 multivariate probit 5 GHK simulator 4 Volatility 4 Volatilität 4 maximum simulated likelihood 4 multivariate normal tempered stable distribution 4 multivariate subordinators 4 pseudo-random sequences 4 ARCH model 3 ARCH-Modell 3 Derivat 3 Derivative 3 EM algorithm 3 Lévy processes 3 Monte Carlo simulation 3 Multivariate normal mean 3 Option trading 3 Optionsgeschäft 3 missing data 3 multivariate normal mean 3 portfolio optimization 3
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Online availability
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Undetermined 92 Free 13
Type of publication
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Article 101 Book / Working Paper 14
Type of publication (narrower categories)
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Article in journal 22 Aufsatz in Zeitschrift 22 Working Paper 4 Aufsatz im Buch 2 Book section 2 research-article 2
Language
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Undetermined 80 English 33 Czech 1 Italian 1
Author
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Kim, Young Shin 6 Cappellari, Lorenzo 5 Jenkins, Stephen P. 5 Guillaume, Tristan 4 Kurosaki, Tetsuo 3 Nadarajah, S. 3 Rachev, Svetlozar T. 3 Semeraro, Patrizia 3 Balakrishnan, N. 2 Bentler, Peter 2 Clemen, Robert T. 2 Fabozzi, Frank J. 2 Giacometti, Rosella 2 Hyodo, Masashi 2 Kalkbrener, Michael 2 Kubokawa, Tatsuya 2 Marena, Marina 2 Mignacca, Domenico 2 Packham, Natalie 2 Rezaei, S. 2 Srivastava, Muni S. 2 Zinodiny, S. 2 Zografos, K. 2 Ah-Kine, P. 1 Aminzadeh, M. 1 Andrushchenko, Zhanna 1 Arashi, M. 1 Arjmand, O. Naghshineh 1 Badr, Youakim 1 Banerjee, Soumya 1 Bao, Yong 1 Bazyari, Abouzar 1 Bhattacharya, Bhaskar 1 Blanco, Iván 1 Block, Henry W. 1 Bodnar, Taras 1 Brechmann, Eike C. 1 Bretz, F. 1 Burns, William J. 1 Cai, Xueya 1
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Institution
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Agricultural and Applied Economics Association - AAEA 1 Collegio Carlo Alberto, Università degli Studi di Torino 1 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 1 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 1 EconWPA 1 Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen 1 Fakultät für Wirtschaftswissenschaften, Karlsruhe Institut für Technologie 1 HAL 1 Institut d'Économie et de Management de la Santé (IEMS), Faculté des Hautes Études Commerciales (HEC) 1 Institute for the Study of Labor (IZA) 1
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Published in...
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Journal of Multivariate Analysis 17 Annals of the Institute of Statistical Mathematics 15 Statistics & Probability Letters 9 Management Science 5 Metrika 5 Psychometrika 5 Computational Statistics 2 Computational Statistics & Data Analysis 2 IZA Discussion Papers 2 Journal of econometrics 2 Stata Journal 2 2001 Annual meeting, August 5-8, Chicago, IL 1 AStA Advances in Statistical Analysis 1 Applied Mathematical Finance 1 Asia-Pacific Financial Markets 1 Carlo Alberto Notebooks 1 Computational economics 1 DIW Discussion Papers 1 Decision making and risk/return optimization in financial economics 1 Discussion Papers of DIW Berlin 1 Econometrics 1 Econometrics Working Papers Archive 1 Economics & finance notes 1 Energy economics 1 European journal of operational research : EJOR 1 Finance research letters 1 Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 3 1 INFORMS journal on computing : JOC 1 IRTG 1792 Discussion Paper 1 International Journal of Ambient Computing and Intelligence (IJACI) 1 International Journal of Mathematics Research 1 International Journal of Quality & Reliability Management 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of financial engineering 1 International journal of financial services management : IJFSM 1 International journal of forecasting 1 International journal of theoretical and applied finance 1 Investment management and financial innovations 1 Journal of Applied Statistics 1 KIT Working Paper Series in Economics 1
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Source
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RePEc 84 ECONIS (ZBW) 24 EconStor 4 Other ZBW resources 3
Showing 41 - 50 of 115
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Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation
Cappellari, Lorenzo; Jenkins, Stephen P. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006
We discuss methods for calculating multivariate normal probabilities by simulation and two new Stata programs for this …
Persistent link: https://www.econbiz.de/10004963950
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Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation
Cappellari, Lorenzo; Jenkins, Stephen P. - In: Stata Journal 6 (2006) 2, pp. 156-189
We discuss methods for calculating multivariate normal probabilities by simulation and two new Stata programs for this …
Persistent link: https://www.econbiz.de/10004964310
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Discrimination and Classification of Poultry Feeds Data
Olosunde A.A.; Soyinka, A.T - In: International Journal of Mathematics Research 2 (2013) 5, pp. 37-44
This study is aimed at employing discriminant analysis method and classification for the purpose of achieving the assessment of a discriminant function through which we can discover the reasons of the actual difference between two groups of eggs of which the chicken were fed with different...
Persistent link: https://www.econbiz.de/10010769151
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Exact simultaneous confidence intervals for a finite set of contrasts of three, four or five generally correlated normal means
Liu, W.; Ah-Kine, P.; Bretz, F.; Hayter, A.J. - In: Computational Statistics & Data Analysis 57 (2013) 1, pp. 141-148
The construction of a set of simultaneous confidence intervals for any finite number of contrasts of p generally correlated normal means is considered. It is shown that the simultaneous confidence level can be expressed as a (p−2)-dimensional integral for a general p≥3. This expression...
Persistent link: https://www.econbiz.de/10011056381
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Bayes minimax estimation of the multivariate normal mean vector under quadratic loss functions
Zinodiny, S.; Rezaei, S.; Arjmand, O. Naghshineh; … - In: Statistics & Probability Letters 83 (2013) 9, pp. 2052-2056
The problem of estimating the mean vector μ of a multivariate normal distribution with the covariance matrix σ2Ip is …
Persistent link: https://www.econbiz.de/10011040093
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On the moments of ratios of quadratic forms in normal random variables
Bao, Yong; Kan, Raymond - In: Journal of Multivariate Analysis 117 (2013) C, pp. 229-245
In this paper, we present both integral and infinite series expressions of μqp≡E[(x′Ax)p/(x′Bx)q] when x∼N(μ,In), where p, q are nonnegative real numbers, A is a symmetric matrix, and B is a positive semi-definite matrix. We also present efficient numerical methods for computing μqp...
Persistent link: https://www.econbiz.de/10011041907
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Generalized multivariate Birnbaum–Saunders distributions and related inferential issues
Kundu, Debasis; Balakrishnan, N.; Jamalizadeh, Ahad - In: Journal of Multivariate Analysis 116 (2013) C, pp. 230-244
transformation instead of the multivariate normal distribution. Different properties of this distribution are obtained in the general … case. Special emphasis is placed on statistical inference for two particular cases: (i) multivariate normal kernel and (ii …
Persistent link: https://www.econbiz.de/10011042008
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On the exact joint distribution of a linear combination of order statistics and their concomitants in an exchangeable multivariate normal distribution
Sheikhi, Ayyub; Mehrali, Yaser; Tata, Mahbanoo - In: Statistical Papers 54 (2013) 2, pp. 325-332
In this work we prove that for an exchangeable multivariate normal distribution the joint distribution of a linear …
Persistent link: https://www.econbiz.de/10010998574
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On the exact and approximate distributions of the product of a Wishart matrix with a normal vector
Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: Journal of Multivariate Analysis 122 (2013) C, pp. 70-81
standard multivariate normal random vectors for each element of the sample. Additionally to the Monte Carlo approach, we …
Persistent link: https://www.econbiz.de/10010702799
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Asymptotic distributions of some test criteria for the mean vector with fewer observations than the dimension
Katayama, Shota; Kano, Yutaka; Srivastava, Muni S. - In: Journal of Multivariate Analysis 116 (2013) C, pp. 410-421
The problem of hypothesis testing concerning the mean vector for high dimensional data has been investigated by many authors. They have proposed several test criteria and obtained their asymptotic distributions, under somewhat restrictive conditions, when both the sample size and the dimension...
Persistent link: https://www.econbiz.de/10010665706
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