Overview
Fully revised new edition of this classic text
Presents comprehensive overview of elliptical contoured models and their applications to statistics
The final chapter provides real-life case example of financial modeling from the Dow-Jones Stock Index
Includes supplementary material: sn.pub/extras
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Table of contents (11 chapters)
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Front Matter
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Preliminaries
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Front Matter
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Definition and Distributional Properties
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Front Matter
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Estimation and Hypothesis Testing
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Front Matter
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Applications
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Front Matter
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Back Matter
Keywords
About this book
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.
Reviews
From the book reviews:
“The book is a thorough presentation of the results from the literature and some new ones and is a product of a careful work of its authors. … the book under review is a useful collection of numerous facts concerning elliptically contoured distributions for random matrices. It may find its place in research libraries as a valuable reference source and will surely appeal to the researches working in the theory of multivariate distributions.” (Ilya S. Molchanov, zbMATH 1306.62028, 2015)
Authors and Affiliations
About the authors
Bibliographic Information
Book Title: Elliptically Contoured Models in Statistics and Portfolio Theory
Authors: Arjun K. Gupta, Tamas Varga, Taras Bodnar
DOI: https://doi.org/10.1007/978-1-4614-8154-6
Publisher: Springer New York, NY
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Science+Business Media New York 2013
Hardcover ISBN: 978-1-4614-8153-9Published: 08 September 2013
Softcover ISBN: 978-1-4939-5328-8Published: 23 August 2016
eBook ISBN: 978-1-4614-8154-6Published: 07 September 2013
Edition Number: 2
Number of Pages: XX, 321
Number of Illustrations: 7 b/w illustrations
Topics: Statistical Theory and Methods, Statistics for Business, Management, Economics, Finance, Insurance