2 Contributo in Volume

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2.1 Contributo in volume (Capitolo o Saggio) 11620
2.2 Prefazione/Postfazione 354
2.3 Breve introduzione 136
2.4 Voce (in dizionario o enciclopedia) 602
2.5 Traduzione in volume 63
2.6 Recensione in volume 3
2.7 Schede di catalogo 74

Prodotti recenti

The Mardia's kurtosis of a multivariate GARCH model

The Mardia's kurtosis of a random vector with nonsingular covariance matrix and finite fourth-order moments is the fourth moment of the Mahalanobis distance of the random vector from its mean. In particular, the Mardia's kurtosis of a nondegenerate random variable with finite fourth moment coincides with its fourth standardized moment. The Mardia's kurtosis is the best known measure of multivariate kurtosis and appears in normality testing, robustness studies and outlier detection. Under mild...

Some inequalities between measures of multivariate kurtosis, with application to financial returns

The kurtosis of a random variable is often measured by its fourth standardized moment. Similarly, measures of multivariate kurtosis are often functions of a matrix containing all the fourth order moments which can be obtained from a standardized random vector. This paper examines some properties of the fourth moment matrix, and uses them to establish some inequalities between well-known scalar measures of multivariate kurtosis. Theoretical results are applied to multivariate financial returns...

Exploratory projection pursuit for multivariate financial data

Projection pursuit is a multivariate statistical technique aimed at finding interesting low-dimensional data projections. It deals with three major challenges of multivariate analysis: the curse of dimensionality, the presence of irrelevant features and the limitations of visual perception. In particular, kurtosis-based projection pursuit looks for interesting data features by means of data projections with either minimal or maximal kurtosis. Its applications include independent component ana...

An algorithm for finding projections with extreme kurtosis

Projection pursuit is a multivariate statistical technique aimed at finding interesting low-dimensional data projections. A projection pursuit index is a function which associates a data projection to a real value measuring its interestingness: the higher the index, the more interesting the projection. Consequently, projection pursuit looks for the data projection which maximizes the projection pursuit index. The absolute value of the fourth standardized cumulant is a prominent projection pur...

Testing for normality when the sampled distribution is extended skew-normal

The extended skew-normal (ESN) distribution includes the normal one as a special case. Unfortunately, its information matrix is singular under normality, thus preventing application of standard likelihood-based methods for testing the null hypothesis of normality. The paper shows that for univariate ESN distributions the sample skewness provides the locally most powerful test for normality among the location and scale invariant ones. The generalization to multivariate ESN distributions consid...

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