نتایج جستجو برای: skew elliptical distributions
تعداد نتایج: 152642 فیلتر نتایج به سال:
— In this paper, we consider the problem of deriving new eigenvalue distributions of real-valued Wishart matrices that arises in many scientific and engineering applications. The distributions are derived using the tools from the theory of skew symmetric matrices. In particular, we relate the multiple integrals of a determinant, which arises while finding the eigenvalue distributions, in terms ...
many performance measures, such as the classical sharpe ratio have difficulty in evaluating the performance of investment companies whose return distributions are skewed. common causes for skew ness are the use of options in the portfolio or superior market timing skills of the portfolio managers. in this article, we examine the ability of the downside risk and the upside potential ratio (upr) ...
Quantifying dependence between extreme values is a central problem in many theoretical and applied studies. The main distinction is between asymptotically independent and asymptotically dependent extremes, with important theoretical examples of these general limiting classes being the extremal behaviour of a bivariate Normal distribution, for asymptotic independence, and of the bivariate t dist...
A recent paper presents an extension of the skew-normal distribution which is a copula. Under this model, standardized marginal distributions are standard normal. The copula itself depends on familiar skewing construction based normal function. This concerned with two topics. First, number extensions Notably these include case in Student’s t, different degrees freedom allowed for each margin. I...
The traditional class of elliptical distributions is extended to allow for asymmetries. A completely robust dispersion matrix estimator (the ‘spectral estimator’) for the new class of ‘generalized elliptical distributions’ is presented. It is shown that the spectral estimator corresponds to an M-estimator proposed by Tyler (1983) in the context of elliptical distributions. Both the generalizati...
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