Multivector variate distributions: An application in Finance
Statistics Theory
2018-06-26 v1 Statistics Theory
Abstract
A new family of multivariate distributions, which shall be termed multivector variate distributions, based in the family of the multivariate contoured elliptically distribution is proposed. Several particular cases of multivector variate distributions are obtained and a number of published multivariate distributions in another contexts are found as simple corollaries. An application of interest in finance is full derived and compared with the traditional methods.
Keywords
Cite
@article{arxiv.1806.09086,
title = {Multivector variate distributions: An application in Finance},
author = {Jose. A. Diaz-Garcia and Francisco J. Caro-Lopera and Fredy O. Perez Ramirez},
journal= {arXiv preprint arXiv:1806.09086},
year = {2018}
}
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23 pages