Multivector Variate Distributions

José A. Díaz-García (), Francisco J. Caro-Lopera () and Fredy O. Pérez Ramírez ()
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José A. Díaz-García: Universidad Autónoma de Chihuahua
Francisco J. Caro-Lopera: Universidad de Medellín
Fredy O. Pérez Ramírez: Universidad de Medellín

Sankhya A: The Indian Journal of Statistics, 2022, vol. 84, issue 2, No 6, 534-555

Abstract: Abstract A new family of multivariate distributions under elliptical models is proposed in this work. Several particular cases of this multivector variate distributions are obtained and a number of published multivariate distributions in other contexts are found as simple corollaries. An application of interest in finance is full derived and compared with the traditional methods.

Keywords: Bimatrix variate; Multivector variate; Matrix variate; Random vector; Multivariate elliptical distributions; Kotz distribution; 62E15; 60E05; 62A10, 62H12 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s13171-020-00202-7

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