Distribution under elliptical symmetry of a distance-based multivariate coefficient of variation

DOI10.1007/s00362-016-0777-4zbMath1395.62118OpenAlexW2408249983MaRDI QIDQ725678

C. Ruwet, Stephanie Aerts, Gentiane Haesbroeck

Publication date: 2 August 2018

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-016-0777-4

zbMATH Keywords

bias reductionSharpe ratioelliptical symmetrydecentralized \(F\)-distributionmultivariate coefficient of variation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

Related Items (1)

Permutation test for the multivariate coefficient of variation in factorial designs

Uses Software

• bootstrap

Cites Work

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• Multivariate coefficients of variation: comparison and influence functions
• Approximate bias correction in econometrics
• A novel definition of the multivariate coefficient of variation
• Radial estimates and the test for sphericity
• On multivariate coefficients of variation
• Distribution of the Coefficient of Variation and the Extended "t" Distribution
• A multivariate generalization of the power exponential family of distributions
• Tests of Coefficients of Variation of Normal Population
• APPLICATIONS OF THE NON-CENTRAL t-DISTRIBUTION

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