POWER GENERALIZATION OF CHEBYSHEV’S INEQUALITY – MULTIVARIATE CASE

Budny Katarzyna ()
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Budny Katarzyna: Department of Mathematics, Cracow University of Economics, Cracow, Poland .

Statistics in Transition New Series, 2019, vol. 20, issue 3, 155-170

Abstract: In the paper some multivariate power generalizations of Chebyshev’s inequality and their improvements will be presented with extension to a random vector with singular covariance matrix. Moreover, for these generalizations, the cases of the multivariate normal and the multivariate t distributions will be considered. Additionally, some financial application will be presented.

Keywords: multivariate Chebyshev’s inequality; Mahalanobis distance; multivariate normal distribution; multivariate t distribution. (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:stintr:v:20:y:2019:i:3:p:155-170:n:1

DOI: 10.21307/stattrans-2019-029

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