Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with leverage effect and generalized hyperbolic skew t-distributions are embedded to multivariate analysis with time-varying correlations. Bayesian prior works allow this approach to provide parsimonious skew structure and...

We describe a statistical analysis of the eye tracker measurements in a database with 15 observers viewing 1003 images under free-viewing conditions. In contrast to the common approach of investigating the properties of the fixation points we analyze the properties of the transition phases between fixations. We introduce hyperbolic geometry as a tool to measure the step length between consecuti...

There are many linear rank tests for the two-sample dispersion problem presented in literature. However just a few of them, the simplest ones, are commonly used. These common tests are not efficient for many practical distributions and thus other simple tests need to be developed to serve a wider range of distributions. The generalized secant hyperbolic distribution, proposed by Vaughan in [9],...

Countless test statistics can be written as quadratic forms in certain random vectors, or ratios thereof. Consequently, their distribution has received considerable attention in the literature. Except for a few special cases, no closed-form expression for the cdf exists, and one resorts to numerical methods. Traditionally the problem is analyzed under the assumption of joint Gaussianity; the al...

We examine the problem of computing multivariate scenarios sets for skewed distributions. Our interest is motivated by the potential use of such sets in the stress testing of insurance companies and banks whose solvency is dependent on changes in a set of financial risk factors. We define multivariate scenario sets based on the notion of half-space depth (HD) and also introduce the notion of ex...

We study multiple linear regression model under non-normally distributed random error by considering the family of generalized secant hyperbolic distributions. derive estimators parameters using modified maximum likelihood methodology and explore properties so obtained. show that proposed are more efficient robust than commonly used least square estimators. also develop relevant test hypothesis...

A model is presented of the development of the size distribution of sand while it is transported from a source to a deposit. The model provides a possible explanation of the log-hyperbolic shape that is frequently found in unimodal grain size distributions in natural sand deposits, as pointed out by Bagnold. It implies that the size distribution of a sand deposit is a logarithmic normal-inverse...