An asymptotic test of independence for multivariate t and Cauchy random variables with applications

DOI10.1016/0020-0255(96)00036-9MaRDI QIDQ1373381zbMATH OpenOpenAlexFDO

Authors José-Luis Guerrero-Cusumano

Publication date 17 December 1997

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0020-0255(96)00036-9

zbMATH Keywords

Cauchy distributionmultivariate \(t\)mutual informationtest for independence

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Asymptotic properties of parametric tests (62F05) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• A BIVARIATE GENERALIZATION OF STUDENT'S t-DISTRIBUTION, WITH TABLES FOR CERTAIN SPECIAL CASES
• A generalization of the Wishart distribution for the elliptical model and its moments for the multivariate t model
• A measure of total variability for the multivariate \(t\) distribution with applications to finance
• An informational measure of correlation
• Estimation of the parameters of a regression model with a multivariate t error variable
• scientific article; zbMATH DE number 3945094 (Why is no real title available?)
• scientific article; zbMATH DE number 50118 (Why is no real title available?)
• scientific article; zbMATH DE number 3241743 (Why is no real title available?)
• scientific article; zbMATH DE number 3354336 (Why is no real title available?)
• Relative Entropy Measures of Multivariate Dependence

Cited in

(10)

• A measure of total variability for the multivariate \(t\) distribution with applications to finance
• Measuring stochastic dependence using \(\phi\)-divergence
• Mathematical properties of the multivariate \(t\) distribution
• On a measure of dependence based on fisher's information matrix
• Measures of dependence for the multivariate t distribution with applications to the stock market
• A Class of Asymptotically Distribution-Free Test Procedures for Equality of Marginals Under Multivariate Dependence
• Mutual information as a measure of multivariate association: analytical properties and statistical estimation
• Sampling distributions associated with the multivariate t distribution
• Dimensionless Measures of Variability and Dependence for Multivariate Continuous Distributions
• On some entropy and divergence type measures of variability and dependence for mixed continuous and discrete variables

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