Bivariate Student t distributions with variable marginal degrees of freedom and independence

DOI10.1016/J.JMVA.2007.08.006MaRDI QIDQ928862zbMATH OpenOpenAlexFDO

Authors K. T. A. Lee, William T. Shaw

Publication date 11 June 2008

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

Full work available at URL https://doi.org/10.1016/j.jmva.2007.08.006

zbMATH Keywords

correlationdependencedegrees of freedommultivariate Student

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of hypergeometric functions (33C90)

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Cites work

• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• scientific article; zbMATH DE number 3824228 (Why is no real title available?)
• scientific article; zbMATH DE number 493076 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 5187617 (Why is no real title available?)
• A Bivariate $t$ Distribution
• A Bivariate t-Distribution with Applications
• A dependent bivariate \(t\) distribution with marginals on different degrees of freedom
• An introduction to copulas.
• Multitude of bivariatetdistributions
• Multitude of multivariatet-distributions
• Multivariate T-Distributions and Their Applications
• THE PROBABLE ERROR OF A MEAN
• The meta-elliptical distributions with given marginals
• The t Copula and Related Copulas

Cited in

(12)

• A dependent bivariate \(t\) distribution with marginals on different degrees of freedom
• Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
• A class of models for uncorrelated random variables
• On hysteretic vector autoregressive model with applications
• A generalization of independence and multivariate Student's \(t\)-distributions
• On extremes of two-dimensional Student-t distribution of the Marshall-Olkin type
• The multivariate t -distribution with multiple degrees of freedom
• Multitude of bivariatetdistributions
• A new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: application to robust clustering
• On the convolution of normal and \(t\) random variables
• A double generalized Pareto distribution
• Robust modeling using non-elliptically contoured multivariate t distributions

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