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  • Search: subject:"elliptical model"
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Year of publication
Subject
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Statistical distribution 2 Statistische Verteilung 2 Capital income 1 Central limit theorem 1 Correlation 1 Covariance matrix 1 Elliptical model 1 Elliptical model Median Regression Robustness 1 Estimation theory 1 High-dimension 1 Kapitaleinkommen 1 Korrelation 1 Linear algebra 1 Linear spectral statistics 1 Lineare Algebra 1 Schätztheorie 1 Statistical test 1 Statistical theory 1 Statistische Methodenlehre 1 Statistischer Test 1 Stock returns distribution 1 Theorie 1 Theory 1 Time series analysis 1 Zeitreihenanalyse 1 asymptotic normality 1 distribution free tests 1 elliptical copula 1 elliptical distribution 1 elliptical model 1 meta-elliptical model 1 method of moments 1 multiple hypotheses testing 1 properties of symmetry 1 semi-parametric model 1 tail dependence 1
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Online availability
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Undetermined 3 Free 1
Type of publication
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Article 3 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 2
Author
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Aelst, Stefan Van 1 Chen, Jiaqi 1 Croux, Christophe 1 Dehon, Catherine 1 Koldanov, Petr 1 Krajina, A. 1 Lozgacheva, Nina 1 Rousseeuw, Peter J. 1 Yang, Xinxin 1 Zheng, Xinghua 1
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Institution
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Tilburg University, Center for Economic Research 1
Published in...
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Discussion Paper / Tilburg University, Center for Economic Research 1 International journal of theoretical and applied finance 1 Journal of econometrics 1 Statistics & Probability Letters 1
Source
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ECONIS (ZBW) 2 RePEc 2
Showing 1 - 4 of 4
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Testing high-dimensional covariance matrices under the elliptical distribution and beyond
Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi - In: Journal of econometrics 221 (2021) 2, pp. 409-423
Persistent link: https://www.econbiz.de/10012619243
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Multiple testing of sign symmetry for stock return distributions
Koldanov, Petr; Lozgacheva, Nina - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-14
Persistent link: https://www.econbiz.de/10011686758
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A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models
Krajina, A. - Tilburg University, Center for Economic Research - 2009
An elliptical copula model is a distribution function whose copula is that of an elliptical distri- bution. The tail dependence function in such a bivariate model has a parametric representation with two parameters: a tail parameter and a correlation parameter. The correlation parameter can be...
Persistent link: https://www.econbiz.de/10011090470
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Robust estimation of the conditional median function at elliptical models
Croux, Christophe; Dehon, Catherine; Rousseeuw, Peter J.; … - In: Statistics & Probability Letters 51 (2001) 4, pp. 361-368
In this note we study the problem of estimating the parameters of the conditional median function at elliptical models. For this we use positive-breakdown estimators of multivariate location and scatter, and obtain influence functions and asymptotic variances of the resulting slope and...
Persistent link: https://www.econbiz.de/10005319666
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