Elliptically Contoured Models in Statistics and Portfolio Theory

Gupta, Arjun K. K.

ISBN 10: 1493953281 ISBN 13: 9781493953288

Published by Springer, 2016

Language: English

Condition: New Soft cover

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Bibliographic Details

Title

Elliptically Contoured Models in Statistics and Portfolio Theory

Publisher

Springer

Publication Date

2016

Language

English

ISBN 10

1493953281

ISBN 13

9781493953288

Binding

Soft cover

Condition

New

Seller catalogs

About this title

Synopsis

Elliptically Contoured Models in Statistics and Portfolio Theory fully revises the first detailed introduction to the theory of matrix variate elliptically contoured distributions. There are two additional chapters, and all the original chapters of this classic text have been updated. Resources in this book will be valuable for researchers, practitioners, and graduate students in statistics and related fields of finance and engineering. Those interested in multivariate statistical analysis and its application to portfolio theory will find this text immediately useful. In multivariate statistical analysis, elliptical distributions have recently provided an alternative to the normal model. Elliptical distributions have also increased their popularity in finance because of the ability to model heavy tails usually observed in real data. Most of the work, however, is spread out in journals throughout the world and is not easily accessible to the investigators. A noteworthy function of this book is the collection of the most important results on the theory of matrix variate elliptically contoured distributions that were previously only available in the journal-based literature. The content is organized in a unified manner that can serve an a valuable introduction to the subject.

About the Author

Arjun Gupta is affiliated with the Department of Statistics at Bowling Green State University. Tamas Varga is a statistical researcher in Hungary. Taras Bodnar is affiliated with the Department of Statistics at Stiftung European University Viadrina.

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