Elliptically contoured models in statistics and portfolio theory / Arjun K. Gupta, Tamas Varga and Taras Bodnar.
Publication details: New York : Springer, 2013.Edition: 2nd edDescription: xx, 321 p. : illustrations ; 25 cmISBN:- 9781461481539
- 000SA.031 23 G977
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 000SA.031 G977 (Browse shelf(Opens below)) | Available | 136227 |
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| 000SA.031 Ar752 Pareto distributions / | 000SA.031 Az999 Skew-normal and related families / | 000SA.031 C773 Fat-tailed distributions : | 000SA.031 G977 Elliptically contoured models in statistics and portfolio theory / | 000SA.031 Ib14 Heavy-tailed distributions and robustness in economics and finance / | 000SA.031 J68 Distribution of statistics | 000SA.031 K86 Benford's law : |
Includes bibliographical references and indexes.
1. Preliminaries --
2. Basic Properties --
3. Probability Density Function and Expected Values --
4. Mixtures of Normal Distributions --
5. Quadratic Forms and other Functions of Elliptically Contoured Matrices --
6. Characterization Results --
7. Estimation --
8. Hypothesis Testing --
9. Linear Models --
10. Application in Portfolio Theory--
11. Skew Elliptically Contoured Distributions --
References--
Author index--
Subject index.
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 this book will be valuable for researchers, practitioners, and graduate students in statistics and related fields of finance and engineering. Those interested in multivariate statistical analysis and its application to portfolio theory will find this text immediately useful. In multivariate statistical analysis, elliptical distributions have recently provided an alternative to the normal model. Elliptical distributions have also increased their popularity in finance because of the ability to model heavy tails usually observed in real data. Most of the work, however, is spread out in journals throughout the world and is not easily accessible to the investigators. A noteworthy function of this book is the collection of the most important results on the theory of matrix variate elliptically contoured distributions that were previously only available in the journal-based literature. The content is organized in a unified manner that can serve an a valuable introduction to the subject.
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