Showing 11 - 20 of 642,392
Persistent link: https://www.econbiz.de/10011298869
Persistent link: https://www.econbiz.de/10001391200
further study that relies on the density and cumulative probability functions of product of n random variables and the theory …
Persistent link: https://www.econbiz.de/10012865406
We introduce the new F-Riesz distribution to model tail-heterogeneity in fat-tailed covariance matrix observations. In contrast to the typical matrix-valued distributions from the econometric literature, the F-Riesz distribution allows for di↵erent tail behavior across all variables in the...
Persistent link: https://www.econbiz.de/10012421038
Persistent link: https://www.econbiz.de/10011999867
applications in Risk Management, Finance, Economics, Science, and many other areas. This paper develops the theory on both density … . Thereafter, we extend the theory by establishing the density and distribution functions for the quotients Y=X1X2 and Z=X1X1+X2 of … two dependent normal random variables X1 and X2 in the case of Gaussian copulas. We then develop the theory on the median …
Persistent link: https://www.econbiz.de/10012022301
of product for two or more random variables. Thus, the theory developed in this paper is useful for academics …
Persistent link: https://www.econbiz.de/10012015948
Persistent link: https://www.econbiz.de/10011881079
There has been much work on the approximation of independent or dependent random variables. But we are not aware of any work giving exact results for the approximation of the sum of randomly weighted random variables. In this paper, we derive results for the randomly weighted sum of dependent...
Persistent link: https://www.econbiz.de/10014240361
Persistent link: https://www.econbiz.de/10014476881