Duality between matrix variate \(t\) and matrix variate V.G. distributions

DOI10.1016/j.jmva.2005.09.002zbMath1119.62048OpenAlexW2047033476MaRDI QIDQ2507766

Solomon W. Harrar, Eugene Seneta, Arjun K. Gupta

Publication date: 5 October 2006

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2005.09.002

zbMATH Keywords

characteristic functioninversion theoremmatrix variate distributionsinverted Wishartvariance-gammalog returnmatrix generalized inverse Gaussian

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10)

Related Items (4)

Autocorrelation Functions ⋮ Matrix variate generalized asymmetric Laplace distributions ⋮ The inverse Riesz probability distribution on symmetric matrices ⋮ Extending the multivariate generalised \(t\) and generalised \(VG\) distributions

Cites Work

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• Bessel functions of matrix argument
• A note on the characteristic function of the \(t\)-distribution
• The t Copula and Related Copulas
• Generalized Inverse Gaussian Distributions and their Wishart Connections
• Exponential transformation models
• Fitting the variance-gamma model to financial data
• Matricvariate Generalizations of the Multivariate $t$ Distribution and the Inverted Multivariate $t$ Distribution
• A BIVARIATE GENERALIZATION OF STUDENT'S t-DISTRIBUTION, WITH TABLES FOR CERTAIN SPECIAL CASES

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