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Scale curve – a robust and nonparametric approach to study a dispersion and interdependence of multivariate distributions

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  • Daniel Kosiorowski

Abstract

W pracy pokazano wybrane teoretyczne aspekty budowy i interpretacji krzywej skali oraz pewne propozycje jej modyfikacji dostosowujące ją do zagadnień ekonomicznych. Rozważania teoretyczne zilustrowano za pomocą symulacji obserwacji z wielowymiarowego skośnego rozkładu T i mieszanin rozkładów oraz za pomocą przykładu empirycznego wielowymiarowego szeregu finansowego.

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  • Daniel Kosiorowski, 2008. "Scale curve – a robust and nonparametric approach to study a dispersion and interdependence of multivariate distributions," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 18(4), pages 47-60.
    • Handle: RePEc:wut:journl:v:4:y:2008:p:47-60
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    References listed on IDEAS

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    1. Karl Mosler, 2003. "Central Regions and Dependency," Methodology and Computing in Applied Probability, Springer, vol. 5(1), pages 5-21, March.
    2. Wang, Jin & Serfling, Robert, 2006. "Influence functions for a general class of depth-based generalized quantile functions," Journal of Multivariate Analysis, Elsevier, vol. 97(4), pages 810-826, April.
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