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Analysis of elliptical copula correlation factor model with Kendall's tau
Elliptical copula correlation matrix factor model Kendall’s tau nuclear norm penalty oracle inequality primal-dual certificate
2013/6/14
We study a factor model for the correlation matrix $\Sigma\in\RR^{d\times d}$ of an elliptical copula. The correlations are connected to Kendall's tau and a natural estimation procedure is to plug-in ...
The joint distribution of stock returns is not elliptical
joint distribution stock returns elliptical
2010/10/21
Using a large set of daily US and Japanese stock returns, we test in detail the relevance of Student models, and of more general elliptical models, for describing the joint distribution of returns. W...
Elliptical Slice Sampling
Elliptical Slice Sampling probabilistic models Gaussian distribution
2010/3/9
Many probabilistic models introduce strong dependencies between variables using a latent multivariate Gaussian distribution or a Gaussian process. We present a new Markov chain Monte Carlo algorithm f...
Diagnostic Methods in Elliptical Linear Regression Models
Diagnostic Methods Elliptical Linear Regression Models
2009/9/18
Diagnostic Methods in Elliptical Linear Regression Models。
Size-and-Shape Cone, Shape Disk and Configuration Densities for the Elliptical Models
Size-and-Shape Cone Shape Disk Configuration Densities the Elliptical Models
2009/9/17
Size-and-Shape Cone, Shape Disk and Configuration Densities for the Elliptical Models。
Compound and scale mixture of vector and spherical matrix variate elliptical distributions
Matricvariate matrix variate scale mixture compound distribution elliptical distribution matrix variate hypergeometric distributions
2010/3/18
Several matrix variate hypergeometric type distributions are derived. The compound
distributions of left-spherical matrix variate elliptical distributions and inverted
hypergeometric type distributi...
NEW CRITERIA FOR TESTS OF DIMENSIONALITY UNDER ELLIPTICAL POPULATIONS
Elliptical distribution dimensionality multivariate analysis of variance nuisance parameter
2009/3/11
We consider tests of dimensionality in the multivariate analysis of variance (MANOVA). Three types of test criteria (Likelihood-Ratio-type, Lawley-Hotelling-type and Bartlett-Nanda-Pillai-type) are po...
THE EFFECTS OF NONNORMALITY ON THE UPPER PERCENTILES OF T2max STATISTIC IN ELLIPTICAL DISTRIBUTIONS
Asymptotic expansion Bonferroni inequality Elliptical distribution Monte Carlo simulation Pairwise multiple comparison
2009/3/10
In this paper, we consider the effects of nonnormality on the upper percentiles of T2max statistic in elliptical distributions. Some approximations based on the Bonferroni inequalities and asymptotic ...
Estimation of Moment Parameter in Elliptical Distributions
asymptotic expansion consistent estimator elliptical distribution kurtosis parameter moment parameter Monte Carlo simulation perturbation method
2009/3/10
As a typical non-normal case, we consider a family of elliptically symmetric distributions. Then, the moment parameter and its consistent estimator are presented. Also, the asymptotic expectation and ...
Tails of correlation mixtures of elliptical copulas
Copula tail dependence penultimate tail dependence stochastic correlation Gaussian copula t -copula stock market return
2010/11/3
Correlation mixtures of elliptical copulas arise when the correlation parameter is driven itself by a latent random process. For such copulas, both penultimate and asymptotic tail dependence are much ...