Measures of dependence for the multivariate t distribution with applications to the stock market

DOI10.1080/03610929808832268MaRDI QIDQ4246301zbMATHOpenAlexFDO

Authors José-Luis Guerrero-Cusumano

Publication date 9 November 1999

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929808832268

zbMATH Keywords

entropydependencemutual informationmultivariate \(t\)dependence coefficient

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3945094 (Why is no real title available?)
• A generalization of the Wishart distribution for the elliptical model and its moments for the multivariate t model
• A measure of total variability for the multivariate \(t\) distribution with applications to finance
• An asymptotic test of independence for multivariate \(t\) and Cauchy random variables with applications
• An informational measure of correlation
• Estimation of regression parameters in generalized linear models for cluster correlated data with measurement error
• Estimation of the parameters of a regression model with a multivariate t error variable
• Multivariate mutual information
• Relative Entropy Measures of Multivariate Dependence

Cited in

(8)

• A measure of total variability for the multivariate \(t\) distribution with applications to finance
• Independent Component Analysis and Immunization: An Exploratory Study
• On non-Gaussianity and dependence in financial time series: a nonextensive approach
• Discrimination of observations into one of two elliptic populations based on monotone training samples
• Dimensionless Measures of Variability and Dependence for Multivariate Continuous Distributions
• Symmetrical independence tests for two random vectors with arbitrary dimensional graphs
• Mathematical properties of the multivariate \(t\) distribution
• Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market

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