Family of multivariate generalized t distributions

DOI10.1016/J.JMVA.2003.09.008MaRDI QIDQ1877009zbMATH OpenOpenAlexFDO

Authors Olcay Arslan

Publication date 16 August 2004

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2003.09.008

zbMATH Keywords

elliptically contoured distributiongeneralized \(t\) distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
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• scientific article; zbMATH DE number 48335 (Why is no real title available?)
• scientific article; zbMATH DE number 775283 (Why is no real title available?)
• A multivariate generalization of the power exponential family of distributions
• Alternative beta estimation for the market model using partially adaptive techniques
• Beta estimation in the market model: skewness and leptokurtosis
• Model selection: some generalized distributions
• On some characterizations of the \(t\)-distribution
• Robust Estimation, Nonnormalities, and Generalized Exponential Distributions

Cited in

(20)

• Multivariate \(T\)-normal distributions in applied statistics
• A characterisation of scale mixtures of the uniform distribution
• The Asymptotic Covariance Matrix of the Least Squares Estimator in the Stochastic Linear Regression Model: The Case of Elliptically Symmetric Distribution
• On combining unbiased and possibly biased correlated estimators
• On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled t-distributed innovations
• On asymmetric generalised t stochastic volatility models
• Using parametric classification trees for model selection with applications to financial risk management
• An adaptive kriging method for solving nonlinear inverse statistical problems
• Volatility modeling with a generalized \(t\) distribution
• Generalized elliptical distributions
• Generalised matricvariate $T$-distribution
• On some characterizations of the \(t\)-distribution
• The generalized T Birnbaum-Saunders family
• Maintaining tail dependence in data shuffling using \(t\) copula
• Extending the multivariate generalised \(t\) and generalised \(VG\) distributions
• A new class of multivariate \(t\)-type distributions
• Duality between matrix variate \(t\) and matrix variate V.G. distributions
• scientific article; zbMATH DE number 1089132 (Why is no real title available?)
• Compound and scale mixture of matricvariate and matrix variate Kotz-type distributions
• A new class of multivariate distributions: scale mixture of Kotz-type distributions

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