Statistical inference of multivariate distribution parameters for non-Gaussian distributed time series

MaRDI QIDQ5361362zbMATH OpenFDO

Authors Przemyslaw Repetowicz, Peter Richmond

Publication date 27 September 2017

Full work available at URL http://www.actaphys.uj.edu.pl/fulltext?series=Reg&vol=36&page=2785

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cited in

(5)

• Constructing analytically tractable ensembles of stochastic covariances with an application to financial data
• A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
• A general Isserlis theorem for mixed-Gaussian random variables
• Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations
• An Isserlis' theorem for mixed Gaussian variables: Application to the auto-bispectral density

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