-Riesz distribution extends the well-known Multivariate Student's t distribution by allowing for tail heterogeneity via a vector of …

-Riesz distribution extends the well-known Multivariate Student's t distribution by allowing for tail heterogeneity via a vector of …

We introduce the new F-Riesz distribution to model tail-heterogeneity in fat-tailed covariance matrix observations. In … techniques. Allowing for tail-heterogeneity when modeling covariance matrices appears empirically highly relevant. When applying …

We introduce the new F-Riesz distribution to model tail-heterogeneity in fat-tailed covariance matrix observations. In … techniques. Allowing for tail-heterogeneity when modeling covariance matrices appears empirically highly relevant. When applying …