Sökning: "Wishart distribution"

Visar resultat 6 - 10 av 15 avhandlingar innehållade orden Wishart distribution.

  1. 6. Statistical Methods in Portfolio Theory

    Författare :Stanislas Muhinyuza; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : In this thesis we develop new statistical theory and apply it to practical problems dealing with mean-variance optimal portfolio selection. More precisely, we derive an exact statistical test for the characterization of the location of the tangency portfolio (TP) on the efficient frontier. LÄS MER

  3. 7. Aspects of multilinear algebra in statistical analysis of seasonal multivariate time series

    Författare :Björn Holmquist; Statistiska institutionen; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : Representations of concepts from multivariate statistics are studied using multilinear algebra. Applications are given to the analysis of seasonal multivariate time series. The first paper concerns a class of permutation matrices which are representations of permutation operators on tensor spaces. LÄS MER

  4. 8. Statistical Inference of Tangency Portfolio in Small and Large Dimension

    Författare :Stanislas Muhinyuza; Taras Bodnar; Dietrich von Rosen; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Tangency portfolio; Mean-variance portfolio; High-dimensional asymptotics; Test theory; Mathematical Statistics; matematisk statistik;

    Sammanfattning : This thesis considers statistical test theory in portfolio theory. It analyses the asymptotic behavior of the considered tests in the high-dimensional setting, meaning k/n → c ∈ (0, ∞) as n → ∞, where k and n are portfolio size and sample size, respectively. LÄS MER

  5. 9. Contributions to linear discriminant analysis with applications to growth curves

    Författare :Edward Kanuti Ngailo; Martin Singull; Dietrich von Rosen; Anuradha Roy; Linköpings universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis concerns contributions to linear discriminant analysis with applications to growth curves.Firstly, we present the linear discriminant function coefficients in a stochastic representation using random variables from the standard univariate distributions. LÄS MER

  7. 10. Multivariate linear normal models with special references to the growth curve model

    Författare :Dietrich von Rosen; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : The Growth Curve Model (GMAN0VA) introduced by Potthoff & Roy (1964) and two extensions are considered. The first extension treats a Growth Curve Model with concomitant variables whereas the second is applicable when different growth curves or when linear restrictions on the parameter space, describing the mean structure in the Growth Curve Model, exist. LÄS MER