Basic Properties

Arjun K. Gupta, Tamas Varga and Taras Bodnar
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Arjun K. Gupta: Bowling Green State University, Department of Mathematics and Statistics
Tamas Varga: Damjanich
Taras Bodnar: Humboldt-University of Berlin, Department of Mathematics

Chapter Chapter 2 in Elliptically Contoured Models in Statistics and Portfolio Theory, 2013, pp 15-57 from Springer

Abstract: Abstract In the literature, several definitions of elliptically contoured distributions can befound, e.g. see Anderson and Fang (1982b), Fang and Chen (1984), and Sutradhar and Ali(1989). We use the definition given in Gupta and Varga (1994b). Moreover, we present somebasic properties of matrix variate elliptically contoured distributions, such as the stochasticrepresentation, the conditional and marginal distributions. Finally, several families of matrix variate elliptically contoured distributions are introduced.

Keywords: Conditional Distribution; Random Matrix; Matrix Variate; Generate Elliptically; Multivariate Normal Distribution (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-8154-6_2

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DOI: 10.1007/978-1-4614-8154-6_2

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