Recent advances in estimation techniques have underscored the growing importance of shrinkage estimation and balanced loss functions in the analysis of multivariate normal distributions. These ...

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...

The grouped continuous model for multivariate ordered categorical data is described. This is based on partitioning an underlying multivariate normal distribution. Straightforward maximum likelihood ...

In this paper statistical test criteria are developed for testing equality of means, equality of variances and equality of covariances in a normal multivariate population of k variables on the basis ...

In many applications, the manifest variables are not even approximately multivariate normal. If this happens to be the case with your data set, the default generalized least-squares and maximum ...

This paper presents a discrete random-field model for forward prices driven by the multivariate normal inverse Gaussian distribution. The model captures the idiosyncratic risk and adequately addresses ...

James Chen, CMT is an expert trader, investment adviser, and global market strategist. Khadija Khartit is a strategy, investment, and funding expert, and an educator of fintech and strategic finance ...

The normal distribution is the probability distribution that plots all of its values along a symmetrical bell curve, with the highest probabilities centered around the mean value and tapering out ...