A measure of total variability for the multivariate t distribution with applications to finance

DOI10.1016/0020-0255(96)00044-8MaRDI QIDQ1373382zbMATH OpenOpenAlexFDO

Authors José-Luis Guerrero-Cusumano

Publication date 17 December 1997

Published in Information Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/0020-0255(96)00044-8

zbMATH Keywords

entropymultivariateCauchy distributions

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 3945094 (Why is no real title available?)
• A BIVARIATE GENERALIZATION OF STUDENT'S t-DISTRIBUTION, WITH TABLES FOR CERTAIN SPECIAL CASES
• Entropy expressions and their estimators for multivariate distributions
• Estimation of the parameters of a regression model with a multivariate t error variable
• On the entropy of continuous probability distributions (Corresp.)
• Quadratic Approximations of the Portfolio Selection Problem When the Means and Variances of Returns are Infinite

Cited in

(13)

• An asymptotic test of independence for multivariate \(t\) and Cauchy random variables with applications
• Sampling distributions associated with the multivariate t distribution
• Multivariate maximum entropy densities applied for multivariate analysis of financial time series
• Maximum entropy models for general lag patterns
• Dependency reduction with divisive normalization: justification and effectiveness
• On some entropy and divergence type measures of variability and dependence for mixed continuous and discrete variables
• Dimensionless Measures of Variability and Dependence for Multivariate Continuous Distributions
• Measures of dependence for the multivariate t distribution with applications to the stock market
• Multivariate exponential families and the Taguchi loss function
• scientific article; zbMATH DE number 6039585 (Why is no real title available?)
• Mutual information as a measure of multivariate association: analytical properties and statistical estimation
• Mathematical properties of the multivariate \(t\) distribution
• A new measure between sets of probability distributions with applications to erratic financial behavior

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