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Multivariate T-Distributions and Their Applications

Citations

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Cited by:

  1. Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 311-344, November.
  2. Wang, Wan-Lun & Lin, Tsung-I, 2016. "Maximum likelihood inference for the multivariate t mixture model," Journal of Multivariate Analysis, Elsevier, vol. 149(C), pages 54-64.
  3. Kollo, Tõnu, 2008. "Multivariate skewness and kurtosis measures with an application in ICA," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2328-2338, November.
  4. Barry K. Goodwin & Giorgia Rivieccio & Giovanni De Luca & Fabian Capitanio, 2024. "Computing impulse response functions from a copula-based vector autoregressive model: evidence from the italian agri-food value chain," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(2), pages 1779-1797, April.
  5. Bretz, Frank, 2006. "An extension of the Williams trend test to general unbalanced linear models," Computational Statistics & Data Analysis, Elsevier, vol. 50(7), pages 1735-1748, April.
  6. Jeon, Jeong Min & Van Keilegom, Ingrid, 2023. "Density estimation for mixed Euclidean and non-Euclidean data in the presence of measurement error," Journal of Multivariate Analysis, Elsevier, vol. 193(C).
  7. Yu Zhu & Bangsen Tian & Chou Xie & Yihong Guo & Haoran Fang & Ying Yang & Qianqian Wang & Ming Zhang & Chaoyong Shen & Ronghao Wei, 2023. "Multi-Temporal InSAR Deformation Monitoring Zongling Landslide Group in Guizhou Province Based on the Adaptive Network Method," Sustainability, MDPI, vol. 15(2), pages 1-24, January.
  8. Iwashita, Toshiya & Kakizawa, Yoshihide & Inoue, Tatsuki & Seo, Takashi, 2009. "An asymptotic expansion of the distribution of Student's t type statistic under spherical distributions," Statistics & Probability Letters, Elsevier, vol. 79(18), pages 1935-1942, September.
  9. Domino, Krzysztof, 2020. "Multivariate cumulants in outlier detection for financial data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
  10. Elizabeth D. Schifano & Himchan Jeong & Ved Deshpande & Dipak K. Dey, 2021. "Fully and empirical Bayes approaches to estimating copula-based models for bivariate mixed outcomes using Hamiltonian Monte Carlo," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(1), pages 133-152, March.
  11. Shaw, W.T. & Lee, K.T.A., 2008. "Bivariate Student t distributions with variable marginal degrees of freedom and independence," Journal of Multivariate Analysis, Elsevier, vol. 99(6), pages 1276-1287, July.
  12. Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2026. "Cluster GARCH," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 44(1), pages 148-161, January.
    • Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024. "Cluster GARCH," Papers 2406.06860, arXiv.org.
  13. Matthew A. Ohemeng & Tomasz J. Kozubowski, 2025. "Discrete-Continuous Dual Families, Reciprocal Laws, Random Summation, and Mixtures of Gaussian Distributions," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 87(2), pages 741-789, August.
  14. Punzo Antonio & Bagnato Luca, 2022. "Multiple scaled symmetric distributions in allometric studies," The International Journal of Biostatistics, De Gruyter, vol. 18(1), pages 219-242, May.
  15. Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2021. "Robust Dynamic Panel Data Models Using 𝛆𝛆-Contamination," Center for Policy Research Working Papers 240, Center for Policy Research, Maxwell School, Syracuse University.
  16. Brechmann, Eike C. & Hendrich, Katharina & Czado, Claudia, 2013. "Conditional copula simulation for systemic risk stress testing," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 722-732.
  17. Singh, Vikas Vikram & Lisser, Abdel, 2019. "A second-order cone programming formulation for two player zero-sum games with chance constraints," European Journal of Operational Research, Elsevier, vol. 275(3), pages 839-845.
  18. Catania, Leopoldo & Proietti, Tommaso, 2020. "Forecasting volatility with time-varying leverage and volatility of volatility effects," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1301-1317.
  19. Giner, Javier, 2021. "Orthant-based variance decomposition in investment portfolios," European Journal of Operational Research, Elsevier, vol. 291(2), pages 497-511.
  20. Balakrishnan, N. & Hashorva, E., 2011. "On Pearson-Kotz Dirichlet distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 948-957, May.
  21. Dewei Zhang & Sam Davanloo Tajbakhsh, 2023. "Riemannian Stochastic Variance-Reduced Cubic Regularized Newton Method for Submanifold Optimization," Journal of Optimization Theory and Applications, Springer, vol. 196(1), pages 324-361, January.
  22. Liu, Fang, 2011. "Some correlations in intersection-union tests and their relationship with complete power," Statistics & Probability Letters, Elsevier, vol. 81(4), pages 518-523, April.
  23. Kim, Hyoung-Moon & Maadooliat, Mehdi & Arellano-Valle, Reinaldo B. & Genton, Marc G., 2016. "Skewed factor models using selection mechanisms," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 162-177.
  24. Nason, Guy P., 2006. "On the sum of t and Gaussian random variables," Statistics & Probability Letters, Elsevier, vol. 76(12), pages 1280-1286, July.
  25. Kraus, Daniel & Czado, Claudia, 2017. "D-vine copula based quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 110(C), pages 1-18.
  26. Wan-Lun Wang, 2019. "Mixture of multivariate t nonlinear mixed models for multiple longitudinal data with heterogeneity and missing values," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(1), pages 196-222, March.
  27. Hosoe, Nobuhiro & Takagi, Shingo, 2012. "Retail power market competition with endogenous entry decision—An auction data analysis," Journal of the Japanese and International Economies, Elsevier, vol. 26(3), pages 351-368.
  28. Taras Bodnar & Mathias Lindholm & Vilhelm Niklasson & Erik Thors'en, 2020. "Bayesian Quantile-Based Portfolio Selection," Papers 2012.01819, arXiv.org.
  29. Thomas Holgersson & Peter Karlsson & Andreas Stephan, 2020. "A risk perspective of estimating portfolio weights of the global minimum-variance portfolio," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 59-80, March.
  30. Lin, Tsung-I & Wang, Wan-Lun, 2024. "On moments of truncated multivariate normal/independent distributions," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
  31. Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2008. "Multivariate Gram-Charlier Densities," MPRA Paper 29073, University Library of Munich, Germany.
  32. Arellano-Valle, Reinaldo B. & Azzalini, Adelchi, 2021. "A formulation for continuous mixtures of multivariate normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 185(C).
  33. Galimberti, Giuliano & Soffritti, Gabriele, 2014. "A multivariate linear regression analysis using finite mixtures of t distributions," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 138-150.
  34. Filipiak, Katarzyna & Klein, Daniel & Mazur, Stepan & Mrowińska, Malwina, 2025. "Likelihood ratio test for covariance matrix under multivariate t distribution with uncorrelated observations," Journal of Multivariate Analysis, Elsevier, vol. 210(C).
  35. Díaz-García, José A. & Gutiérrez-Jáimez, Ramón, 2006. "The distribution of the residual from a general elliptical multivariate linear model," Journal of Multivariate Analysis, Elsevier, vol. 97(8), pages 1829-1841, September.
  36. Contreras-Reyes, Javier E. & López Quintero, Freddy O. & Wiff, Rodrigo, 2018. "Bayesian modeling of individual growth variability using back-calculation: Application to pink cusk-eel (Genypterus blacodes) off Chile," Ecological Modelling, Elsevier, vol. 385(C), pages 145-153.
  37. Cerqueti, Roy & Palestini, Arsen, 2024. "Bivariate Tail Conditional Co-Expectation for elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 119(C), pages 251-260.
  38. Lourme, Alexandre & Maurer, Frantz, 2017. "Testing the Gaussian and Student's t copulas in a risk management framework," Economic Modelling, Elsevier, vol. 67(C), pages 203-214.
  39. Saralees Nadarajah, 2009. "The product t density distribution arising from the product of two Student’s t PDFs," Statistical Papers, Springer, vol. 50(3), pages 605-615, June.
  40. Nelson, Kenric P., 2022. "Independent Approximates enable closed-form estimation of heavy-tailed distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 601(C).
  41. Amos Natido & Tomasz J. Kozubowski, 2026. "Marginally generalized asymmetric Laplace distributions," Statistical Papers, Springer, vol. 67(1), pages 1-43, February.
  42. Galarza, Christian E. & Matos, Larissa A. & Castro, Luis M. & Lachos, Victor H., 2022. "Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-t distribution," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
  43. Gerard, David & Hoff, Peter, 2015. "Equivariant minimax dominators of the MLE in the array normal model," Journal of Multivariate Analysis, Elsevier, vol. 137(C), pages 32-49.
  44. V. Maume-Deschamps & D. Rullière & A. Usseglio-Carleve, 2018. "Spatial Expectile Predictions for Elliptical Random Fields," Methodology and Computing in Applied Probability, Springer, vol. 20(2), pages 643-671, June.
  45. Muchmore Patrick & Marjoram Paul, 2015. "Exact likelihood-free Markov chain Monte Carlo for elliptically contoured distributions," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 14(4), pages 317-332, August.
  46. Torri, Gabriele & Giacometti, Rosella & Tichý, Tomáš, 2021. "Network tail risk estimation in the European banking system," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  47. Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," JRFM, MDPI, vol. 10(1), pages 1-14, February.
  48. Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
  49. Yuexuan Zhao & Jing Huang, 2021. "Dirichlet Process Prior for Student’s t Graph Variational Autoencoders," Future Internet, MDPI, vol. 13(3), pages 1-14, March.
  50. Bauder, David & Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2020. "Bayesian inference of the multi-period optimal portfolio for an exponential utility," Journal of Multivariate Analysis, Elsevier, vol. 175(C).
  51. A. El-Bassiouny & M. Jones, 2009. "A bivariate F distribution with marginals on arbitrary numerator and denominator degrees of freedom, and related bivariate beta and t distributions," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(4), pages 465-481, November.
  52. Punzo, Antonio & Bagnato, Luca, 2022. "Dimension-wise scaled normal mixtures with application to finance and biometry," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
  53. Tiago P. Filomena & Miguel A. Lejeune, 2014. "Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 308-329, April.
  54. Wang, Wan-Lun, 2015. "Mixtures of common t-factor analyzers for modeling high-dimensional data with missing values," Computational Statistics & Data Analysis, Elsevier, vol. 83(C), pages 223-235.
  55. Domínguez-Molina, J. Armando & Rocha-Arteaga, Alfonso, 2007. "On the infinite divisibility of some skewed symmetric distributions," Statistics & Probability Letters, Elsevier, vol. 77(6), pages 644-648, March.
  56. Krivobokova, Tatyana & Serra, Paulo & Rosales, Francisco & Klockmann, Karolina, 2022. "Joint non-parametric estimation of mean and auto-covariances for Gaussian processes," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
  57. Esther B. Del Brio & Trino-Manuel Niguez & Javier Perote, 2009. "Gram-Charlier densities: a multivariate approach," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 855-868.
  58. Iranmanesh, A. & Arashi, M. & Nagar, D.K. & Nadarajah, S. & Tabatabaey, S.M.M., 2012. "A new mixture representation for multivariate t," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 227-231.
  59. Mutschler, Willi, 2015. "Identification of DSGE models—The effect of higher-order approximation and pruning," Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 34-54.
  60. Zhang, Ran & Czado, Claudia & Min, Aleksey, 2011. "Efficient maximum likelihood estimation of copula based meta t-distributions," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1196-1214, March.
  61. Bai, Jushan & Chen, Zhihong, 2008. "Testing multivariate distributions in GARCH models," Journal of Econometrics, Elsevier, vol. 143(1), pages 19-36, March.
  62. Katarzyna Filipiak & Tõnu Kollo, 2024. "Covariance structure tests for multivariate t-distribution," Statistical Papers, Springer, vol. 65(7), pages 4537-4566, September.
  63. Yi Wang & Zhiping Chen & Kecun Zhang, 2007. "A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDERt-DISTRIBUTION," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 24(04), pages 535-556.
  64. Ñíguez, Trino-Manuel & Perote, Javier, 2016. "Multivariate moments expansion density: Application of the dynamic equicorrelation model," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 216-232.
  65. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2017. "Multiple risk measures for multivariate dynamic heavy–tailed models," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 1-32.
  66. Bodnar, Taras & Lindholm, Mathias & Niklasson, Vilhelm & Thorsén, Erik, 2022. "Bayesian portfolio selection using VaR and CVaR," Applied Mathematics and Computation, Elsevier, vol. 427(C).
  67. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
  68. Hintz, Erik & Hofert, Marius & Lemieux, Christiane, 2021. "Normal variance mixtures: Distribution, density and parameter estimation," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
  69. Wang, Wan-Lun & Fan, Tsai-Hung, 2012. "Bayesian analysis of multivariate t linear mixed models using a combination of IBF and Gibbs samplers," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 300-310.
  70. Lamboni, Matieyendou, 2022. "Efficient dependency models: Simulating dependent random variables," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 200(C), pages 199-217.
  71. Papastathopoulos, Ioannis & Tawn, Jonathan A., 2013. "A generalised Student’s t-distribution," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 70-77.
  72. Feng, Qing & Jiang, Meilei & Hannig, Jan & Marron, J.S., 2018. "Angle-based joint and individual variation explained," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 241-265.
  73. Chen, Tao & Martin, Elaine & Montague, Gary, 2009. "Robust probabilistic PCA with missing data and contribution analysis for outlier detection," Computational Statistics & Data Analysis, Elsevier, vol. 53(10), pages 3706-3716, August.
  74. Alexey Balaev, 2014. "The copula based on multivariate t-distribution with vector of degrees of freedom," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 90-110.
  75. Bernard, Carole & Vanduffel, Steven, 2015. "A new approach to assessing model risk in high dimensions," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 166-178.
  76. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, August.
  77. Kaiser, Jonas & Krämer, Walter, 2011. "A cautionary note on computing conditional from unconditional correlations," Economics Letters, Elsevier, vol. 111(2), pages 176-179, May.
  78. Lindsey, J.K. & Lindsey, P.J., 2006. "Multivariate distributions with correlation matrices for nonlinear repeated measurements," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 720-732, February.
  79. Cristina Tortora & Brian C. Franczak & Ryan P. Browne & Paul D. McNicholas, 2019. "A Mixture of Coalesced Generalized Hyperbolic Distributions," Journal of Classification, Springer;The Classification Society, vol. 36(1), pages 26-57, April.
  80. Enzo D’Innocenzo & Alessandra Luati & Mario Mazzocchi, 2023. "A robust score-driven filter for multivariate time series," Econometric Reviews, Taylor & Francis Journals, vol. 42(5), pages 441-470, May.
  81. Li, Zheng & Wang, Yunhao & Gao, Wei, 2025. "A principal mixed-order moments method for CKMS in dimension reduction," Statistics & Probability Letters, Elsevier, vol. 226(C).
  82. Withers, Christopher S. & Nadarajah, Saralees, 2012. "Improved confidence regions based on Edgeworth expansions," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 4366-4380.
  83. Asgar Ali & K. N. Badhani, 2023. "Tail risk, beta anomaly, and demand for lottery: what explains cross-sectional variations in equity returns?," Empirical Economics, Springer, vol. 65(2), pages 775-804, August.
  84. Mehdi Amiri & Yaser Mehrali & Narayanaswamy Balakrishnan & Ahad Jamalizadeh, 2022. "Efficient recursive computational algorithms for multivariate t and multivariate unified skew-t distributions with applications to inference," Computational Statistics, Springer, vol. 37(1), pages 125-158, March.
  85. Bedbur, S. & Lennartz, J.M. & Kamps, U., 2020. "On minimum volume properties of some confidence regions for multiple multivariate normal means," Statistics & Probability Letters, Elsevier, vol. 158(C).
  86. McLachlan, G.J. & Bean, R.W. & Ben-Tovim Jones, L., 2007. "Extension of the mixture of factor analyzers model to incorporate the multivariate t-distribution," Computational Statistics & Data Analysis, Elsevier, vol. 51(11), pages 5327-5338, July.
  87. Singh, Vikas Vikram & Lisser, Abdel & Arora, Monika, 2021. "An equivalent mathematical program for games with random constraints," Statistics & Probability Letters, Elsevier, vol. 174(C).
  88. Villa, Cristiano & Rubio, Francisco J., 2018. "Objective priors for the number of degrees of freedom of a multivariate t distribution and the t-copula," Computational Statistics & Data Analysis, Elsevier, vol. 124(C), pages 197-219.
  89. Shyamalkumar, Nariankadu D. & Tao, Siyang, 2022. "t-copula from the viewpoint of tail dependence matrices," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
  90. Chen, Feifei & Jiménez–Gamero, M. Dolores & Meintanis, Simos & Zhu, Lixing, 2022. "A general Monte Carlo method for multivariate goodness–of–fit testing applied to elliptical families," Computational Statistics & Data Analysis, Elsevier, vol. 175(C).
  91. Toan Luu Duc Huynh, 2019. "Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas," JRFM, MDPI, vol. 12(2), pages 1-19, April.
  92. Landsman, Zinoviy & Makov, Udi & Shushi, Tomer, 2016. "Tail conditional moments for elliptical and log-elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 179-188.
  93. Yu, Donghyeon & Lim, Johan & Liang, Feng & Kim, Kyunga & Kim, Byung Soo & Jang, Woncheol, 2012. "Permutation test for incomplete paired data with application to cDNA microarray data," Computational Statistics & Data Analysis, Elsevier, vol. 56(3), pages 510-521.
  94. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
  95. Nadarajah, Saralees & Afuecheta, Emmanuel & Chan, Stephen, 2013. "A double generalized Pareto distribution," Statistics & Probability Letters, Elsevier, vol. 83(12), pages 2656-2663.
  96. Jingjing He & Wei Wang & Min Huang & Shaohua Wang & Xuefei Guan, 2021. "Bayesian Inference under Small Sample Sizes Using General Noninformative Priors," Mathematics, MDPI, vol. 9(21), pages 1-20, November.
  97. Withers, Christopher S. & Nadarajah, Saralees, 2010. "Expansions for the multivariate normal," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1311-1316, May.
  98. Sreenivasa Rao Jammalamadaka & Emanuele Taufer & Gyorgy H. Terdik, 2021. "On Multivariate Skewness and Kurtosis," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 607-644, August.
  99. Chiancone, Alessandro & Forbes, Florence & Girard, Stéphane, 2017. "Student Sliced Inverse Regression," Computational Statistics & Data Analysis, Elsevier, vol. 113(C), pages 441-456.
  100. Yuzhu Tian & Er’qian Li & Maozai Tian, 2016. "Bayesian joint quantile regression for mixed effects models with censoring and errors in covariates," Computational Statistics, Springer, vol. 31(3), pages 1031-1057, September.
  101. Tsung-I Lin & Pal Wu & Geoffrey McLachlan & Sharon Lee, 2015. "A robust factor analysis model using the restricted skew- $$t$$ t distribution," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(3), pages 510-531, September.
  102. Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2022. "Robust Dynamic Space-Time Panel Data Models Using ε-contamination: An Application to Crop Yields and Climate Change," Center for Policy Research Working Papers 254, Center for Policy Research, Maxwell School, Syracuse University.
  103. Arismendi, J.C., 2013. "Multivariate truncated moments," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 41-75.
  104. Kim, Hyoung-Moon & Genton, Marc G., 2011. "Characteristic functions of scale mixtures of multivariate skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(7), pages 1105-1117, August.
  105. Jondeau, Eric, 2016. "Asymmetry in tail dependence in equity portfolios," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 351-368.
  106. Dariush Najarzadeh, 2019. "Testing equality of standardized generalized variances of k multivariate normal populations with arbitrary dimensions," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(4), pages 593-623, December.
  107. Chun, Hyonho & Lee, Myung Hee & Fleet, James C. & Oh, Ji Hwan, 2016. "Graphical models via joint quantile regression with component selection," Journal of Multivariate Analysis, Elsevier, vol. 152(C), pages 162-171.
  108. Castilla, Elena & Zografos, Konstantinos, 2022. "On distance-type Gaussian estimation," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
  109. Balakrishnan, N. & Hashorva, E., 2013. "Scale mixtures of Kotz–Dirichlet distributions," Journal of Multivariate Analysis, Elsevier, vol. 113(C), pages 48-58.
  110. Xu, Jin & Gupta, Arjun K., 2006. "Improved confidence regions for a mean vector under general conditions," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1051-1062, November.
  111. Wan-Lun Wang & Luis M. Castro & Tsung-I Lin, 2024. "Bayesian multivariate nonlinear mixed models for censored longitudinal trajectories with non-monotone missing values," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 87(5), pages 585-605, July.
  112. Nikoloulopoulos, Aristidis K. & Joe, Harry & Li, Haijun, 2012. "Vine copulas with asymmetric tail dependence and applications to financial return data," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3659-3673.
  113. Ngo Thai Hung, 2025. "Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models," Global Business Review, International Management Institute, vol. 26(5), pages 1405-1424, October.
  114. Weiping Zhang & Feiyue Xie & Jiaxin Tan, 2020. "A robust joint modeling approach for longitudinal data with informative dropouts," Computational Statistics, Springer, vol. 35(4), pages 1759-1783, December.
  115. Agostino Capponi & Alexey Rubtsov, 2022. "Systemic Risk-Driven Portfolio Selection," Operations Research, INFORMS, vol. 70(3), pages 1598-1612, May.
  116. Gabriele Torri & Rosella Giacometti & Sandra Paterlini, 2019. "Sparse precision matrices for minimum variance portfolios," Computational Management Science, Springer, vol. 16(3), pages 375-400, July.
  117. Valdez, Emiliano A. & Dhaene, Jan & Maj, Mateusz & Vanduffel, Steven, 2009. "Bounds and approximations for sums of dependent log-elliptical random variables," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 385-397, June.
  118. Noor Fadhilah Ahmad Radi & Roslinazairimah Zakaria & Julia Piantadosi & John Boland & Wan Zawiah Wan Zin & Muhammad Az-zuhri Azman, 2017. "Generating Synthetic Rainfall Total Using Multivariate Skew-t and Checkerboard Copula of Maximum Entropy," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 31(5), pages 1729-1744, March.
  119. Dilip Madan, 2011. "Joint risk-neutral laws and hedging," IISE Transactions, Taylor & Francis Journals, vol. 43(12), pages 840-850.
  120. Nadarajah, Saralees, 2006. "On the ratio X/Y for some elliptically symmetric distributions," Journal of Multivariate Analysis, Elsevier, vol. 97(2), pages 342-358, February.
  121. Anwar Joarder, 2009. "Moments of the product and ratio of two correlated chi-square variables," Statistical Papers, Springer, vol. 50(3), pages 581-592, June.
  122. Kim, SungBum & Kim, Hyoung-Moon, 2022. "Series form of the characteristic functions of scale mixtures of multivariate skew-normal distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 198(C), pages 172-187.
  123. Anwar Joarder, 2008. "Some useful integrals and their applications in correlation analysis," Statistical Papers, Springer, vol. 49(2), pages 211-224, April.
  124. Stübinger, Johannes & Mangold, Benedikt & Krauss, Christopher, 2016. "Statistical arbitrage with vine copulas," FAU Discussion Papers in Economics 11/2016, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  125. Maria Grazia Zoia & Gianmarco Vacca & Laura Barbieri, 2020. "Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions," Risks, MDPI, vol. 8(4), pages 1-21, November.
  126. Wraith, Darren & Forbes, Florence, 2015. "Location and scale mixtures of Gaussians with flexible tail behaviour: Properties, inference and application to multivariate clustering," Computational Statistics & Data Analysis, Elsevier, vol. 90(C), pages 61-73.
  127. Degras, David, 2008. "Asymptotics for the nonparametric estimation of the mean function of a random process," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 2976-2980, December.
  128. Jaser Miriam & Haug Stephan & Min Aleksey, 2017. "A simple non-parametric goodness-of-fit test for elliptical copulas," Dependence Modeling, De Gruyter, vol. 5(1), pages 330-353, December.
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