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The multivariate split normal distribution and asymmetric principal components analysis

Villani, Mattias; Larsson, Rolf - 2004

The multivariate split nomal distribution extends the usual multivariate normal distribution by a set of parameters which allows for skewness in the form of contraction/dilation along a subset of the prinicpal axis. The paper derives some properties for this distribution, including its moment...

Persistent link: https://www.econbiz.de/10011584774

A multivariate asymmetric long memory conditional volatility model with X, regularity and asymptotics

Asai, Manabu; McAleer, Michael - 2016

theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical … regularity conditions, and associated asymptotic theory. Therefore, the derivation of a multivariate conditional volatility model … with exogenous variables (X) that has regularity conditions and asymptotic theory would seem to be a significant extension …

Persistent link: https://www.econbiz.de/10011531101

Maximum simulated likelihood methods and applications

Greene, William (contributor) - 2010 - Online-Ausg.

The economics and statistics literature using computer simulation based methods has grown enormously over the past decades. Maximum Simulated Likelihood is a statistical tool useful for incorporating individual differences (called heterogeneity in the econometrics literature) and variations into...

Persistent link: https://www.econbiz.de/10012049853

Who's Afraid of Reduced-Rank Parameterizations of Multivariate Models? Theory and Example

Gilbert, Scott D.; Zemcik, Petr - 2005

limited by the daunting complexity of the methods and their theory. The present work takes the easy road, focusing on unifying … unified, explicit theory for the general asymptotic (normal) distribution of maximum likelihood estimators (MLE). MLE can be …

Persistent link: https://www.econbiz.de/10014065423

Efficient estimation and filtering for multivariate jump-diffusions

Guay, François; Schwenkler, Gustavo - In: Journal of econometrics 223 (2021) 1, pp. 251-275

Persistent link: https://www.econbiz.de/10012619970

Multivariate spatial autoregressive model for large scale social networks

Zhu, Xuening; Huang, Danyang; Pan, Rui; Wang, Hansheng - In: Journal of econometrics 215 (2020) 2, pp. 591-606

Persistent link: https://www.econbiz.de/10012439571

Multivariate student versus multivariate Gaussian regression models with application to finance

Thi Huong An Nguyen; Ruiz-Gazen, Anne; Thomas-Agnan, … - In: Journal of risk and financial management : JRFM 12 (2019) 1/28, pp. 1-21

To model multivariate, possibly heavy-tailed data, we compare the multivariate normal model (N) with two versions of the multivariate Student model: the independent multivariate Student (IT) and the uncorrelated multivariate Student (UT). After recalling some facts about these distributions and...

Persistent link: https://www.econbiz.de/10012022338

Stationary vine copula models for multivariate time series

Nagler, Thomas; Krüger, Daniel; Min, Aleksey - In: Journal of econometrics 227 (2022) 2, pp. 305-324

Persistent link: https://www.econbiz.de/10013441987

Empirical likelihood based testing for multivariate regular variation

Einmahl, John H. J.; Krajina, Andrea - 2023

Persistent link: https://www.econbiz.de/10013475286

Time-varying multivariate causal processes

Gao, Jiti; Peng, Bin; Wu, Wei Biao; Yan, Yayi - In: Journal of econometrics 240 (2024) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10015075008