Elliptically contoured models in statistics and portfolio theory / Arjun K. Gupta, Tamas Varga, Taras Bodnar
データ種別 | 電子書籍 |
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版 | Second edition. |
出版者 | New York : Springer |
出版年 | [2013] |
書誌詳細を非表示
書誌ID | OB01024451 |
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本文言語 | 英語 |
一般注記 | Earlier edition: Dordrecht ; Boston : Kluwer Academic, 1993 Includes bibliographical references (pages 303-311) and indexes 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 -- Application in Portfolio Theory -- Skew Elliptically Contoured Distributions. License restrictions may limit access Summary: 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. -- Source other than Library of Congress |
著者標目 | *Gupta, A. K (Arjun K.) 1938- Varga, T (Tamas) 1960- Bodnar, Taras |
件 名 | LCSH:Distribution (Probability theory) LCSH:Multivariate analysis LCSH:Portfolio management -- Mathematical models 全ての件名で検索 FREE:Distribution (Probability theory) FREE:Multivariate analysis FREE:Portfolio management -- Mathematical models 全ての件名で検索 |
分 類 | LCC:QA273.6 DC23:519.24 |
巻冊次 | hbk. ; ISBN:9781461481539 RefWorks出力(各巻) hbk. ; ISBN:1461481538 RefWorks出力(各巻) e-book ; ISBN:9781461481546 RefWorks出力(各巻) e-book ; ISBN:1461481546 RefWorks出力(各巻) |
資料種別 | 機械可読データファイル |
所蔵情報へのリンク | Elliptically contoured models in statistics and portfolio theory / Arjun K. Gupta, Tamas Varga, Taras Bodnar ; : [hardback] |
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※2020年8月16日以降