Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule

DOI10.1016/J.JMVA.2024.105396MaRDI QIDQ6667485zbMATH OpenFDO

Authors Jakub Woźny, Piotr Jaworski, Damian Jelito, Marcin Pitera, Agnieszka Wyłomańska

Publication date 20 January 2025

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

Full work available at URL https://doi.org/10.1016/J.JMVA.2024.105396

zbMATH Keywords

20/60/20 rulecorrelationcovariancedefault risk chargefactor copula modelGaussian copulaincremental risk chargeMarkowitz portfolio optimisationmultivariate normality testnormal copula

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Hypothesis testing in multivariate analysis (62H15) Multivariate analysis (62Hxx)

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Cited in

(2)

• Conditional uncorrelation equals independence
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