Elliptically Contoured Models In Statistics And Portfolio Theory
by Arjun K. Gupta /
2013 / English / PDF
4.9 MB Download
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.
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.