Power Generalization of Chebyshev's Inequality - Multivariate Case

• Autorzy: Katarzyna Budny
• Języki publikacji: EN

Abstrakty

EN

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. (original abstract)

Słowa kluczowe

EN

Calculus of probability; Random vector; Covariance matrix

PL

Rachunek prawdopodobieństwa; Wektor losowy; Macierz kowariancji

• Czasopismo: Statistics in Transition
• Rocznik: 2019
• Tom: 20
• Numer: nr 3
• Strony: 155--170

Twórcy

autor

Katarzyna Budny

• Cracow University of Economics

Bibliografia

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Identyfikatory

DOI

10.21307/stattrans-2019-029