Multivariate Statistical Models
Often we are not interested merely in a single random variable but rather in the joint behavior of several random variables, for example, returns on several assets and a market index. Multivariate distributions describe such joint behavior. This chapter is an introduction to the use of multivariate distributions for modeling financial markets data. Readers with little prior knowledge of multivariate distributions may benefit from reviewing Appendices A.12–A.14 before reading this chapter.
KeywordsCovariance Matrix Random Vector Positive Semidefinite Fisher Information Matrix Multivariate Normal Distribution
- Azzalini, A. (2014) The Skew-Normal and Related Families (Institute of Mathematical Statistics Monographs, Book 3), Cambridge University Press.Google Scholar