There is considerable literature on matrix-variate gamma distributions, also known as Wishart distributions, which are driven by a shape parameter with values in the (Gindikin) set {i/2, i = 1, . . . , k−1}∪((k−1)/2, É). We provide an extension of this class to the case where the shape...

In this paper we derive the nite-sample distribution of the esti- mated weights of the tangency portfolio when both the population and the sample covariance matrices are singular. These results are used in the derivation of a statistical test on the weights of the tangency port- folio where the...

Multivariate Laplace distribution is an important stochastic model that accounts for asymmetry and heavier than Gaussian tails, while still ensuring the existence of the second moments. A Lévy process based on this multivariate infinitely divisible distribution is known as Laplace motion, and...

We propose simple estimation of the location parameter for a density that is unbounded at the mode. The estimator maximizes a modified likelihood in which the singular term in the full likelihood is left out, whenever the parameter value approaches a neighborhood of the singularity location. The...