Multivariate T Distributions And Their Applications
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Multivariate T Distributions And Their Applications
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Author : Samuel Kotz
language : en
Publisher: Cambridge University Press
Release Date : 2004-02-16
Multivariate T Distributions And Their Applications written by Samuel Kotz and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-02-16 with Mathematics categories.
Almost all the results available in the literature on multivariate t-distributions published in the last 50 years are now collected together in this comprehensive reference. Because these distributions are becoming more prominent in many applications, this book is a must for any serious researcher or consultant working in multivariate analysis and statistical distributions. Much of this material has never before appeared in book form. The first part of the book emphasizes theoretical results of a probabilistic nature. In the second part of the book, these are supplemented by a variety of statistical aspects. Various generalizations and applications are dealt with in the final chapters. The material on estimation and regression models is of special value for practitioners in statistics and economics. A comprehensive bibliography of over 350 references is included.
Normal And Student S T Distributions And Their Applications
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Author : Mohammad Ahsanullah
language : en
Publisher: Springer Science & Business Media
Release Date : 2014-02-07
Normal And Student S T Distributions And Their Applications written by Mohammad Ahsanullah and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-07 with Mathematics categories.
The most important properties of normal and Student t-distributions are presented. A number of applications of these properties are demonstrated. New related results dealing with the distributions of the sum, product and ratio of the independent normal and Student distributions are presented. The materials will be useful to the advanced undergraduate and graduate students and practitioners in the various fields of science and engineering.
Innovations In Multivariate Statistical Modeling
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Author : Andriëtte Bekker
language : en
Publisher: Springer Nature
Release Date : 2022-12-15
Innovations In Multivariate Statistical Modeling written by Andriëtte Bekker and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-12-15 with Mathematics categories.
Multivariate statistical analysis has undergone a rich and varied evolution during the latter half of the 20th century. Academics and practitioners have produced much literature with diverse interests and with varying multidisciplinary knowledge on different topics within the multivariate domain. Due to multivariate algebra being of sustained interest and being a continuously developing field, its appeal breaches laterally across multiple disciplines to act as a catalyst for contemporary advances, with its core inferential genesis remaining in that of statistics. It is exactly this varied evolution caused by an influx in data production, diffusion, and understanding in scientific fields that has blurred many lines between disciplines. The cross-pollination between statistics and biology, engineering, medical science, computer science, and even art, has accelerated the vast amount of questions that statistical methodology has to answer and report on. These questions are often multivariate in nature, hoping to elucidate uncertainty on more than one aspect at the same time, and it is here where statistical thinking merges mathematical design with real life interpretation for understanding this uncertainty. Statistical advances benefit from these algebraic inventions and expansions in the multivariate paradigm. This contributed volume aims to usher novel research emanating from a multivariate statistical foundation into the spotlight, with particular significance in multidisciplinary settings. The overarching spirit of this volume is to highlight current trends, stimulate a focus on, and connect multidisciplinary dots from and within multivariate statistical analysis. Guided by these thoughts, a collection of research at the forefront of multivariate statistical thinking is presented here which has been authored by globally recognized subject matter experts.
Student S T Distribution And Related Stochastic Processes
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Author : Bronius Grigelionis
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-09-18
Student S T Distribution And Related Stochastic Processes written by Bronius Grigelionis and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-18 with Mathematics categories.
This brief monograph is an in-depth study of the infinite divisibility and self-decomposability properties of central and noncentral Student’s distributions, represented as variance and mean-variance mixtures of multivariate Gaussian distributions with the reciprocal gamma mixing distribution. These results allow us to define and analyse Student-Lévy processes as Thorin subordinated Gaussian Lévy processes. A broad class of one-dimensional, strictly stationary diffusions with the Student’s t-marginal distribution are defined as the unique weak solution for the stochastic differential equation. Using the independently scattered random measures generated by the bi-variate centred Student-Lévy process, and stochastic integration theory, a univariate, strictly stationary process with the centred Student’s t- marginals and the arbitrary correlation structure are defined. As a promising direction for future work in constructing and analysing new multivariate Student-Lévy type processes, the notion of Lévy copulas and the related analogue of Sklar’s theorem are explained.
Advances And Challenges In Parametric And Semi Parametric Analysis For Correlated Data
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Author : Brajendra C. Sutradhar
language : en
Publisher: Springer
Release Date : 2016-06-15
Advances And Challenges In Parametric And Semi Parametric Analysis For Correlated Data written by Brajendra C. Sutradhar and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-06-15 with Mathematics categories.
This proceedings volume contains eight selected papers that were presented in the International Symposium in Statistics (ISS) 2015 On Advances in Parametric and Semi-parametric Analysis of Multivariate, Time Series, Spatial-temporal, and Familial-longitudinal Data, held in St. John’s, Canada from July 6 to 8, 2015. The main objective of the ISS-2015 was the discussion on advances and challenges in parametric and semi-parametric analysis for correlated data in both continuous and discrete setups. Thus, as a reflection of the theme of the symposium, the eight papers of this proceedings volume are presented in four parts. Part I is comprised of papers examining Elliptical t Distribution Theory. In Part II, the papers cover spatial and temporal data analysis. Part III is focused on longitudinal multinomial models in parametric and semi-parametric setups. Finally Part IV concludes with a paper on the inferences for longitudinal data subject to a challenge of important covariates selection from a set of large number of covariates available for the individuals in the study.
Applied Econometrics
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Author : Chia-Lin Chang
language : en
Publisher: MDPI
Release Date : 2019-05-13
Applied Econometrics written by Chia-Lin Chang and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-13 with Business & Economics categories.
Although the theme of the monograph is primarily related to “Applied Econometrics”, there are several theoretical contributions that are associated with empirical examples, or directions in which the novel theoretical ideas might be applied. The monograph is associated with significant and novel contributions in theoretical and applied econometrics; economics; theoretical and applied financial econometrics; quantitative finance; risk; financial modeling; portfolio management; optimal hedging strategies; theoretical and applied statistics; applied time series analysis; forecasting; applied mathematics; energy economics; energy finance; tourism research; tourism finance; agricultural economics; informatics; data mining; bibliometrics; and international rankings of journals and academics.
Expository Moments For Pseudo Distributions
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Author : Haruhiko Ogasawara
language : en
Publisher: Springer Nature
Release Date : 2023-01-01
Expository Moments For Pseudo Distributions written by Haruhiko Ogasawara and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-01-01 with Mathematics categories.
This book provides expository derivations for moments of a family of pseudo distributions, which is an extended family of distributions including the pseudo normal (PN) distributions recently proposed by the author. The PN includes the skew normal (SN) derived by A. Azzalini and the closed skew normal (CSN) obtained by A. Domínguez-Molina, G. González-Farías, and A. K. Gupta as special cases. It is known that the CSN includes the SN and other various distributions as special cases, which shows that the PN has a wider variety of distributions. The SN and CSN have symmetric and skewed asymmetric distributions. However, symmetric distributions are restricted to normal ones. On the other hand, symmetric distributions in the PN can be non-normal as well as normal. In this book, for the non-normal symmetric distributions, the term “kurtic normal (KN)” is used, where the coined word “kurtic” indicates “mesokurtic, leptokurtic, or platykurtic” used in statistics. The variety of the PN was made possible using stripe (tigerish) and sectional truncation in univariate and multivariate distributions, respectively. The proofs of the moments and associated results are not omitted and are often given in more than one method with their didactic explanations.
Journal Of Research Of The National Institute Of Standards And Technology
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Author :
language : en
Publisher:
Release Date : 2005
Journal Of Research Of The National Institute Of Standards And Technology written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Measurement categories.
Mixture Modelling For Medical And Health Sciences
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Author : Shu-Kay Ng
language : en
Publisher: CRC Press
Release Date : 2019-05-03
Mixture Modelling For Medical And Health Sciences written by Shu-Kay Ng and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-03 with Mathematics categories.
Mixture Modelling for Medical and Health Sciences provides a direct connection between theoretical developments in mixture modelling and their applications in real world problems. The book describes the development of the most important concepts through comprehensive analyses of real and practical examples taken from real-life research problems in
Monte Carlo Methods In Financial Engineering
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Author : Paul Glasserman
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Monte Carlo Methods In Financial Engineering written by Paul Glasserman and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Mathematics categories.
Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques. This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundations of derivatives pricing, and the implementation of several of the most important models used in financial engineering. The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options, and measuring market risk and credit risk in financial portfolios. The most important prerequisite is familiarity with the mathematical tools used to specify and analyze continuous-time models in finance, in particular the key ideas of stochastic calculus. Prior exposure to the basic principles of option pricing is useful but not essential. The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry. Mathematical Reviews, 2004: "... this book is very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context."