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Diagonalization matrix and its application in distribution theory
Some matrix representations of diverse diagonal arrays are studied in this work; the results allow new definitions of classes of elliptical distributions indexed by kernels mixing Hadamard and usual products. A number of ...
Information system for the quantification of financial riskSistema de Información para la cuantificación de riesgos financieros
The quantification of financial risk such as liquidity risk and others is one of the most frequent concern in the bank and corporative sector, in this sense, the liquidity risk materialization causes big monetary lost when ...
Sin título
This work finds in terms of zonal polynomials, the non isotropic noncentral elliptical shape distributions via singular value decomposition; it avoids the invariant polynomials and the open problems for their computation. ...
Matric variate Pearson type II-Riesz distribution
The Pearson type II distribution is well known and is used in the general framework of real normed division algebras and Riesz distribution theory. Also, the so called Pearson type II-Riesz distribution, based on the ...
Estimation of mean form and mean form difference under elliptical laws
The matrix variate elliptical generalization of [30] is presented in this work. The published Gaussian case is revised and modified. Then, new aspects of identifiability and consistent estimation of mean form and mean form ...
Sin título
In this second part of the paper, we make use of the distribution of the trace of a generalized Wishart matrix based on elliptical models to derive the moments of statistic V used for testing sphericity for a general ...
Sin título
A case of the matrix Kummer relation of Herz (1955) based on the Pearson VII type matrix model is derived in this paper. As a consequence, the polynomial Pearson VII configuration density is obtained and this sets the ...
The impossibility of a recurrence construction of the invariant polynomials by using the laplace-beltrami operator
In this paper, we solve an open problem proposed by Davis in [3] about the construction of the invariant polynomials by using the Laplace-Beltrami operator. Until now, only a basis for the non-normalized polynomials is ...
Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots
In this work, we derive the joint distribution of the latent roots of a sample covariance matrix under elliptical models. We then obtain the distributions of the largest and smallest latent roots. In the process of these ...