Search Results - subject:"matrix variate"

Singular conditional autoregressive Wishart model for realized covariance matrices

Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2020

Realized covariance matrices are often constructed under the assumption that richness of intra-day return data is greater than the portfolio size, resulting in non-singular matrix measures. However, when for example the portfolio size is large, assets suffer from illiquidity issues, or market...

Persistent link: https://www.econbiz.de/10012654472

Matrix variate slash distribution

Bulut, Y. Murat; Arslan, Olcay - In: Journal of Multivariate Analysis 137 (2015) C, pp. 173-178

In this paper, we introduce a matrix variate slash distribution as a scale mixture of the matrix variate normal and the …

Persistent link: https://www.econbiz.de/10011263458

Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model

Bodnar, Taras; Gupta, Arjun K. - In: The European journal of finance 21 (2015) 13/15, pp. 1176-1194

Persistent link: https://www.econbiz.de/10011419827

Bayesian inference for the multivariate skew-normal model: A population Monte Carlo approach

Liseo, Brunero; Parisi, Antonio - In: Computational Statistics & Data Analysis 63 (2013) C, pp. 125-138

study and a real data example. A generalization to the matrix variate regression model with skew-normal error is also …

Persistent link: https://www.econbiz.de/10011056440

Extended matrix variate gamma and beta functions

Nagar, Daya K.; Roldán-Correa, Alejandro; Gupta, Arjun K. - In: Journal of Multivariate Analysis 122 (2013) C, pp. 53-69

symmetric matrix. In this article, we define extended matrix variate gamma and extended matrix variate beta functions thereby …

Persistent link: https://www.econbiz.de/10011042027

On orthogonality of (X+Y) and X/(X+Y) rather than independence

Arnold, Barry C.; Villasenor, Jose A. - In: Statistics & Probability Letters 83 (2013) 2, pp. 584-587

of distributions are identified for which cov[X,X/(X+Y)]=0. A related question in the context of matrix-variate …

Persistent link: https://www.econbiz.de/10010602911

Noncentral bimatrix variate generalised beta distributions

Díaz-García, José; Gutiérrez-Jáimez, Ramón - In: Metrika 73 (2011) 3, pp. 317-333

Persistent link: https://www.econbiz.de/10008925323

Decision theory classification of high-dimensional vectors based on small samples

Bradshaw, David; Pensky, Marianna - In: TEST: An Official Journal of the Spanish Society of … 17 (2008) 1, pp. 83-100

Persistent link: https://www.econbiz.de/10005613309

Multivariate Generalizations of the Markov-Switching Model

Khaled, Mohamad - Society for Computational Economics - SCE - 2006

latent processes that have a simple parametric distribution. The matrix-variate bernoulli distribution yields a flexible yet …

Persistent link: https://www.econbiz.de/10005342985

Functions of singular random matrices with applications

Díaz-García, José; Gutiérrez-Jáimez, Ramón - In: TEST: An Official Journal of the Spanish Society of … 14 (2005) 2, pp. 475-487

Persistent link: https://www.econbiz.de/10005390575