Multivariate Analysis and Likelihood Inference
Statistical analysis of multivariate data arises in many empirical studies in finance and econometrics. A classical example, considered in Chapter 3, is the implementation and statistical analysis of Markowitz’s optimal portfolio theory based on historical data, which are multivariate, on the mean levels and the covariance matrix of different assets that are used to form the portfolios. Another important example, studied in Chapter 10, involves multivariate data of bond yields over different maturities.
KeywordsPrincipal Component Analysis Covariance Matrix Fisher Information Matrix Multivariate Normal Distribution Bond Yield
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