Peakedness of linear forms in ensembles and mixtures
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References listed on IDEAS
- Cambanis, Stamatis & Huang, Steel & Simons, Gordon, 1981. "On the theory of elliptically contoured distributions," Journal of Multivariate Analysis, Elsevier, vol. 11(3), pages 368-385, September.
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- Jensen, D. R., 2003. "On the monotone convergence of vector means," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 78-90, April.
- Rustam Ibragimov, 2005. "Portfolio Diversification and Value At Risk Under Thick-Tailedness," Yale School of Management Working Papers amz2386, Yale School of Management, revised 01 Aug 2005.
- Rustam Ibragimov, 2004. "Shifting paradigms: on the robustness of economic models to heavy-tailedness assumptions," Econometric Society 2004 Latin American Meetings 105, Econometric Society.
- Ibragimov, Rustam, 2007. "Efficiency of linear estimators under heavy-tailedness: convolutions of [alpha]-symmetric distributions," Scholarly Articles 2623749, Harvard University Department of Economics.
More about this item
KeywordsEstimating location Weighted averages Concentration Majorization Star-contoured distributions Monotone consistency;
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