The multivariate tail-inflated normal distribution and its application in finance
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Publication:5033962
DOI10.1080/00949655.2020.1805451MaRDI QIDQ5033962
Publication date: 24 February 2022
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.12180
heavy-tailed distributions; maximum likelihood; elliptical distributions; uniform distribution; scale mixtures; financial applications
62-XX: Statistics
Uses Software