2013

Elliptically Contoured Models in Statistics and Portfolio Theory

Authors:

ISBN: 978-1-4614-8153-9 (Print) 978-1-4614-8154-6 (Online)

Table of contents (11 chapters)

  1. Front Matter

    Pages i-xx

  2. Preliminaries

    1. Front Matter

      Pages 1-1

    2. No Access

      Book Chapter

      Pages 3-11

      Preliminaries

  3. Definition and Distributional Properties

    1. Front Matter

      Pages 13-13

    2. No Access

      Book Chapter

      Pages 15-57

      Basic Properties

    3. No Access

      Book Chapter

      Pages 59-102

      Probability Density Function and Expected Values

    4. No Access

      Book Chapter

      Pages 103-123

      Mixtures of Normal Distributions

    5. No Access

      Book Chapter

      Pages 125-144

      Quadratic Forms and Other Functions of Elliptically Contoured Matrices

    6. No Access

      Book Chapter

      Pages 145-169

      Characterization Results

  4. Estimation and Hypothesis Testing

    1. Front Matter

      Pages 171-171

    2. No Access

      Book Chapter

      Pages 173-192

      Estimation

    3. No Access

      Book Chapter

      Pages 193-216

      Hypothesis Testing

  5. Applications

    1. Front Matter

      Pages 217-217

    2. No Access

      Book Chapter

      Pages 219-236

      Linear Models

    3. No Access

      Book Chapter

      Pages 237-271

      Application in Portfolio Theory

    4. No Access

      Book Chapter

      Pages 273-302

      Skew Elliptically Contoured Distributions

  6. Back Matter

    Pages 303-321