A measure of total variability for the multivariate t distribution with applications to finance
DOI10.1016/0020-0255(96)00044-8zbMATH Open0882.62005OpenAlexW1987417645MaRDI QIDQ1373382FDOQ1373382
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)00044-8
Recommendations
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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Cited In (12)
- Dependency reduction with divisive normalization: justification and effectiveness
- A new measure between sets of probability distributions with applications to erratic financial behavior
- An asymptotic test of independence for multivariate \(t\) and Cauchy random variables with applications
- Mutual information as a measure of multivariate association: analytical properties and statistical estimation
- Maximum entropy models for general lag patterns
- Title not available (Why is that?)
- Mathematical properties of the multivariate \(t\) distribution
- 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
- Multivariate exponential families and the Taguchi loss function
- Measures of dependence for the multivariate t distribution with applications to the stock market
- Sampling distributions associated with the multivariate t distribution
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