Results 61 to 70 of about 747,309 (177)
Dynamics of Correlation Structure in Stock Market
Entropy, 2014 In this paper a correction factor for Jennrich’s statistic is introduced in order to be able not only to test the stability of correlation structure, but also to identify the time windows where the instability occurs.
Maman Abdurachman Djauhari, Siew Lee Gan
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Skewed Factor Models Using Selection Mechanisms [PDF]
, 2016 Traditional factor models explicitly or implicitly assume that the factors follow a multivariate normal distribution; that is, only moments up to order two are involved.
Arellano-Valle, Reinaldo B. +3 more
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On Fixed Accuracy Confidence Interval in Multivariate Normal Distribution with Order 1 Autoregressive Covariance Structure. [PDF]
J Stat Theory Pract, 2023 Sarkar P +2 more
europepmc +1 more source
Journal of Mathematical Extension, 2011 We develop a new empirical Bayes analysis in multiple regression models. In the present work we consider multivariate skewnormal as prior for coefficients of the model in a skew-normal population and give empirical Bayes estimation for parameters of ...
M. Khounsiavash +2 more
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A Nonparametric Multivariate Control Chart Based on Data Depth [PDF]
For the design of most multivariate control charts, it is assumed that the observations follow a multivariate normal distribution. In practice, this assumption is rarely satisfied.
Hering, Franz +2 more
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Spreadsheets in Education, 2014 The economic valuation of complex financial contracts is often done using Monte-Carlo simulation. We show how to implement this approach using Excel. We discuss Monte-Carlo evaluation for standard single asset European options and then demonstrate how ...
Timothy J Kyng, Otto Konstandatos
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Estimation of the Vector Autoregressive Model with the Multivariate Skew Normal Distribution for the Shocks: Application to Two Real-World Datasets [PDF]
فصلنامه پژوهشهای اقتصادی ایرانModeling plays a crucial role in economic and financial research, forming the foundation for analysis, decision-making, policy development, and planning.
Manijeh Mahmoodi +1 more
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A Gibbs’ Sampler for the Parameters of a Truncated Multivariate Normal Distribution [PDF]
The inverse distribution function method for drawing randomly from normal and truncated normal distributions is used to set up a Gibbs’ sampler for the posterior density function of the parameters of a truncated multivariate normal distribution.
William Griffiths
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Revstat Statistical Journal, 2010 We propose improvements under squared error loss of the minimum risk equivariant and the linear minimax estimators for estimating the location parameter θ of a p-variate spherically symmetric distribution, with θ restricted to a ball of radius m ...
Éric Marchand +1 more
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Missing covariates in logistic regression, estimation and distribution selection. [PDF]
We derive explicit formulae for estimation in logistic regression models where some of the covariates are missing. Our approach allows for modeling the distribution of the missing covariates either as a multivariate normal or multivariate t-distribution.
Claeskens, Gerda, Consentino, Fabrizio
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