Abstract
A new family of multivariate distributions under elliptical models is proposed in this work. Several particular cases of this multivector variate distributions are obtained and a number of published multivariate distributions in other contexts are found as simple corollaries. An application of interest in finance is full derived and compared with the traditional methods.
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Acknowledgments
This article was partially written during the research stay of the first author, José A. Díaz in the Department of Agronomy, Division of Life Sciences, Campus Irapuato-Salamanca, University of Guanajuato, Irapuato, Guanajuato, Mexico.
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The author is currently retiree. The paper was written and submitted when the author was a professor at the Universidad Autónoma de Chihuahua
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Díaz-García, J.A., Caro-Lopera, F.J. & Ramírez, F.O.P. Multivector Variate Distributions. Sankhya A 84, 534–555 (2022). https://doi.org/10.1007/s13171-020-00202-7
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DOI: https://doi.org/10.1007/s13171-020-00202-7
Keywords
- Bimatrix variate
- Multivector variate
- Matrix variate
- Random vector
- Multivariate elliptical distributions
- Kotz distribution