Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness

DOI10.1016/j.ejor.2017.05.023zbMath1381.62099OpenAlexW2616843069MaRDI QIDQ1694926

Alex Weissensteiner, Wolfgang K. Schief, Michael Hanke, Spiridon I. Penev

Publication date: 6 February 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.05.023

zbMATH Keywords

multivariate statisticsmultivariate skewnessROM simulation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Targeting Kollo skewness with random orthogonal matrix simulation

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