1 edition of **Elliptically Contoured Models in Statistics** found in the catalog.

- 366 Want to read
- 10 Currently reading

Published
**1993**
by Springer Netherlands in Dordrecht
.

Written in English

- Computer engineering,
- Statistics,
- Economics

This volume presents the first detailed introduction to the theory of matrix variate elliptically contoured distributions. The book comprises eight chapters and an up-to-date bibliography. Chapter 1 summarizes some results of matrix algebra. Chapter 2 deals with the basic properties of matrix variate elliptically contoured distributions, such as the probability density function and expected values. It also presents one of the most important tools of the theory of elliptical distributions, the stochastic representation. The probability density function and expected values are investigated in detail in Chapter 3. Chapter 4 focuses on elliptically contoured distributions that can be represented as mixtures of normal distributions. The distributions of functions of random matrices with elliptically contoured distributions are discussed in Chapter 5, with special attention being paid to quadratic forms. Characterization results are given in Chapter 6. Chapters 7-9 are devoted to statistical inference. For researchers and graduate students in statistics and related fields whose interests involve multivariate statistical analysis.

**Edition Notes**

Statement | by A. K. Gupta, T. Varga |

Series | Mathematics and Its Applications -- 240, Mathematics and Its Applications -- 240 |

Contributions | Varga, T. |

Classifications | |
---|---|

LC Classifications | QA276-280 |

The Physical Object | |

Format | [electronic resource] / |

Pagination | 1 online resource (x, 327 p.) |

Number of Pages | 327 |

ID Numbers | |

Open Library | OL27035690M |

ISBN 10 | 9401047197, 9401116466 |

ISBN 10 | 9789401047197, 9789401116466 |

OCLC/WorldCa | 851387373 |

Elliptically Contoured Models in Statistics and Portfolio Theory Arjun K Gupta, Tamas Varga, Taras Bodnar Häftad. Elliptically Contoured Models in Statistics and Portfolio Theory Arjun K. Gupta is the author of a previous Birkhauser book: Gupta/Chen, "Parametric Statistical Change Point Analysis," (, , p. For the regression model y=X β+ε where the errors follow the elliptically contoured distribution, we consider the least squares, restricted least squares, preliminary test, Stein-type shrinkage and positive-rule shrinkage estimators for the regression parameters, β.. We compare the quadratic risks of the estimators to determine the relative dominance properties of the five by: 5. Statistics and Portfolio Theory Elliptically Contoured Models in Statistics and Portfo-lio 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. The papers presented in this volume discuss many varied aspects of this all-encompassing topic. In particular, topics covered include generalized statistical analysis, elliptically contoured distribution, covariance structure analysis, metric scaling, detection of outliers, density approximation, and circulant and band random matrices.

The analysis includes classical and degenerated elliptically contoured driving noises. The Cauchy noise is an example of a degenerated noise, in the sense that it does not have moments. It is shown that EC-ARMA models with finite first two moments become Gaussian as time increases. However, degenerate EC-ARMA models remain non-Gaussian at any time. 1 Sufﬁcient reductions in regressions with elliptically contoured 2 inverse predictors Efstathia Bura* and Liliana Forzaniy 3 *Department of Statistics, The George Washington University, Washington, DC , USA 4 yDepartamento de Matemática, Facultad de Ingeniería Química (UNL) and Instituto 5 6 Matemática Aplicada Litoral (CONICET-UNL), Santa Fe, Argentina. Kubokawa, Tatsuya & M. S. Srivastava, "Robust Improvements in Estimation of Mean and Covariance Matrices in Elliptically Contoured Distribution," CIRJE F-Series F, CIRJE, Faculty of Economics, University of : RePEc:tky:fseresf Radially symmetric and elliptically contoured stable laws possible to use stable models in a variety of practical problems. This book describes the basic facts about univariate and multivariate stable distributions,File Size: KB.

The models preserve some of the main properties of the multivariate normal distribution, and include the elliptically contoured distributions and certain other known distributions as special cases. We give explicit methods for constructing multivariate proper dispersion models. Elliptically contoured distributions Incorporation of the advice and comments of the readers of the first two editions as well as extensively classroom-tested techniques and calculations makes An Introduction to Multivariate Statistical Analysis, Third Edition, more valuable than ever for both professional statisticians and students of /5(21). However, Λ 2 and Λ 3, can be obtained for special elliptically contoured models, derived from, like Pearson type II and VII and the multivariate t distribution. The scalar functions g 1, g 2 and h 2, associated with them, as well as the points λ max and ξ 2 max are derived in Appendix by: 9. Discover Book Depository's huge selection of Arjun K Gupta books online. Free delivery worldwide on over 20 million titles. We use cookies to give you the best possible experience. Elliptically Contoured Models in Statistics and Portfolio Theory. Arjun K. Gupta. 19 Sep Hardback. US$ Add to basket. Design And Analysis Of.

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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 by: Elliptically Contoured Models in Statistics (Mathematics and Its Applications (closed)) Softcover reprint of the original 1st ed.

Edition by Arjun K. Gupta (Author)Cited by: Elliptically Contoured Models in Statistics book 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 Elliptically Contoured Models in Statistics book classic text have been updated. About this book In multivariate statistical analysis, elliptical distributions have recently provided an alternative to the normal model.

Most of the work, however, is spread out in journals throughout the Elliptically Contoured Models in Statistics book and is not easily accessible to the investigators.

Elliptically Contoured Models in Statistics. Authors (view affiliations) it seemed appropriate to collect the most important results on the theory of matrix variate elliptically contoured distributions available in the literature and organize them in a unified manner that can serve as an introduction to the subject.

The book will be useful. Finally, an up-to-date bibliography has been provided, along with author and subject indexes. The materials in the ﬁrst nine chapters are from the book Elliptically Contoured Models in Statistics by the ﬁrst two authors.

The material in Chaps and 11 is taken from the papers of the by: Note: If you're looking for a free download links of Elliptically Contoured Models in Statistics and Portfolio Theory Pdf, epub, docx and torrent then this site is not for you.

only do ebook promotions online and we does not distribute any free download of ebook on this site. 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. 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 : Springer New York. Information of matrix algebra and statistics on the degree of Anderson is assumed. Nevertheless, Chapter 1 summarizes some outcomes of matrix algebra. How to Download Elliptically Contoured Models in Statistics (Mathematics and Its Applications) (Volume ) Pdf.

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Get this from a library. Elliptically Contoured Models in Statistics. [A K Gupta; T Varga] -- This volume presents the first detailed introduction to the theory of matrix variate elliptically contoured distributions.

The book comprises eight chapters and an up-to-date bibliography. Request PDF | Elliptically Contoured Distributions | Given two covariance matricesR andS for a given elliptically contoured distribution, we show how simple inequalities between the matrix Author: Kai-Tai Fang.

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at the best online prices. Elliptically contoured models in statistics. Mathematics and Its Applications (1st ed.). Dordrecht: Kluwer Academic Publishers. ISBN CS1 maint: ref=harv ; Kollo, Tõnu; von Rosen, Dietrich ().

Advanced multivariate statistics with matrices. Dordrecht: Springer. ISBN CS1 maint: ref=harv. Book: Elliptically Contoured Models in Statistics and Portfolio Theory (with A.K. Gupta and T. Varga). Springer Series in Statistics: Theory and Methods.

Springer, New York, Articles in Journals: 1. Testing for Independence of Large Dimensional Vectors (with H. Dette and N. Parolya). To appear in The Annals of Statistics, 2. Statistics and Portfolio Theory Elliptically Contoured Models in Statistics and Portfolio Theory fully revises the first detailed introduction to the theory of matrix variate el-liptically contoured distributions.

There are two additional chapters, and all the original chapters of this classic text have been updated. Resources in this book will. ♥ Book Title: Elliptically Contoured Models in Statistics and Pdf Theory ♣ Name Author: Arjun K. Gupta ∞ Launching: Info ISBN Link: ⊗ Detail ISBN code: ⊕ Number Pages: Total sheet ♮ News id: C_66BAAAQBAJ Download File Start Reading ☯.

Abstract: Hidden Markov models (HMMs) are a popular approach for modeling sequential data comprising continuous attributes.

In such applications, the observation emission densities of the HMM hidden states are typically modeled by means of elliptically contoured distributions, usually multivariate Gaussian or Student's-t by: T.

BODNAR, A. GUPTA (a). Ebook and inferences of the efficient frontier in elliptical models. Journal of the Japan Statistical Society, 39, pp. – T. BODNAR, A. GUPTA (b). An identity for multivariate elliptically contoured matrix distribution. Statistics and Probability Letters, 79, pp.

– T. BOLLERSLEV ().