Table of contents

  1. Front Matter
    Pages i-xx
  2. Preliminaries

    1. Front Matter
      Pages 1-1
    2. Arjun K. Gupta, Tamas Varga, Taras Bodnar
      Pages 3-11
  3. Definition and Distributional Properties

    1. Front Matter
      Pages 13-13
    2. Arjun K. Gupta, Tamas Varga, Taras Bodnar
      Pages 15-57
    3. Arjun K. Gupta, Tamas Varga, Taras Bodnar
      Pages 59-102
    4. Arjun K. Gupta, Tamas Varga, Taras Bodnar
      Pages 103-123
    5. Arjun K. Gupta, Tamas Varga, Taras Bodnar
      Pages 125-144
    6. Arjun K. Gupta, Tamas Varga, Taras Bodnar
      Pages 145-169
  4. Estimation and Hypothesis Testing

    1. Front Matter
      Pages 171-171
    2. Arjun K. Gupta, Tamas Varga, Taras Bodnar
      Pages 173-192
    3. Arjun K. Gupta, Tamas Varga, Taras Bodnar
      Pages 193-216
  5. Applications

    1. Front Matter
      Pages 217-217
    2. Arjun K. Gupta, Tamas Varga, Taras Bodnar
      Pages 219-236
    3. Arjun K. Gupta, Tamas Varga, Taras Bodnar
      Pages 237-271
    4. Arjun K. Gupta, Tamas Varga, Taras Bodnar
      Pages 273-302
  6. Back Matter
    Pages 303-321

About this book

Introduction

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.

Keywords

Distributions Elliptical models Matrix algebra Multivariate statistical analysis Quadratic forms Statistical inference

Authors and affiliations

  • Arjun K. Gupta
    • 1
  • Tamas Varga
    • 2
  • Taras Bodnar
    • 3
  1. 1.Department of Mathematics and StatisticsBowling Green State UniversityBowling GreenUSA
  2. 2.BudapestHungary
  3. 3.Department of MathematicsHumboldt - University of BerlinBerlinGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4614-8154-6
  • Copyright Information Springer Science+Business Media New York 2013
  • Publisher Name Springer, New York, NY
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-1-4614-8153-9
  • Online ISBN 978-1-4614-8154-6
  • About this book
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