Elliptically Contoured Models in Statistics and Portfolio Theory

• Main Authors: Gupta, Arjun K. (Author), Varga, Tamas. (Author), Bodnar, Taras. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: New York, NY : Springer New York : Imprint: Springer, 2013.
• Edition: 2nd ed. 2013.
• Subjects: Statistics.; Mathematical statistics.; Economics > Statistics.; Statistical Theory and Methods.; Statistics for Business/Economics/Mathematical Finance/Insurance.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-1-4614-8154-6

Elliptically Contoured Models in Statistics and Portfolio Theory fully revises the first detailed introduction to the theory of matrix variate elliptically contoured distributions. There are two additional chapters, and all the original chapters of this classic text have been updated. Resources in t...

Table of Contents:

• Preliminaries
• Basic Properties
• Probability Density Function and Expected Values
• Mixtures of Normal Distributions
• Quadratic Forms and other Functions of Elliptically Contoured Matrices
• Characterization Results
• Estimation
• Hypothesis Testing
• Linear Models
• Skew Elliptically Contoured Distributions
• Application in Portfolio Theory
• Author Index
• Subject Index.