Abstract
In Section 11.1 we first recall some well-known, basic facts about multivariate Gaussian and log-normal models. The Gaussian distributions will serve as examples of spherical and elliptical distributions in Section 11.2. An introduction to multivariate Student and multivariate sum-stable distributions is separately treated in the Sections 11.3 and 11.4.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
American University, Washington DC.
Rachev, S.T. and Xin, H. (1993). Test for association of random variables in the attraction of multivariate stable law. Probab. Math. Statist. 14, 125–141.
Cheng, B.N. and Rachev, S.T. (1995). Multivariate stable future prices. Math. Finance 5, 133–153.
Nolan, J.P., Panorska, A. and McCulloch, J.H. (2001). Estimation of stable spectral measures. Mathematical and Computer Modelling 34, 1113–1122.
Rights and permissions
Copyright information
© 2007 Birkhäuser Verlag AG
About this chapter
Cite this chapter
(2007). Elliptical and Related Distributions. In: Statistical Analysis of Extreme Values. Birkhäuser Basel. https://doi.org/10.1007/978-3-7643-7399-3_11
Download citation
DOI: https://doi.org/10.1007/978-3-7643-7399-3_11
Publisher Name: Birkhäuser Basel
Print ISBN: 978-3-7643-7230-9
Online ISBN: 978-3-7643-7399-3
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)