Elliptically Contoured Models in Statistics and Portfolio Theory

Part I. Preliminaries

1. Preliminaries
Arjun K. Gupta, Tamas Varga, Taras Bodnar

Part II. Definition and Distributional Properties

2. Basic Properties
Arjun K. Gupta, Tamas Varga, Taras Bodnar

3. Probability Density Function and Expected Values
Arjun K. Gupta, Tamas Varga, Taras Bodnar

4. Mixtures of Normal Distributions
Arjun K. Gupta, Tamas Varga, Taras Bodnar

5. Quadratic Forms and Other Functions of Elliptically Contoured Matrices
Arjun K. Gupta, Tamas Varga, Taras Bodnar

6. Characterization Results
Arjun K. Gupta, Tamas Varga, Taras Bodnar

Part III. Estimation and Hypothesis Testing

7. Estimation
Arjun K. Gupta, Tamas Varga, Taras Bodnar

8. Hypothesis Testing
Arjun K. Gupta, Tamas Varga, Taras Bodnar

Part IV. Applications

9. Linear Models
Arjun K. Gupta, Tamas Varga, Taras Bodnar

10. Application in Portfolio Theory
Arjun K. Gupta, Tamas Varga, Taras Bodnar

11. Skew Elliptically Contoured Distributions
Arjun K. Gupta, Tamas Varga, Taras Bodnar

Keywords: Statistics, Statistical Theory and Methods, Statistics for Business/Economics/Mathematical Finance/Insurance