Some robust multivariate methods

• Autorzy: Grażyna Trzpiot
• Języki publikacji: EN

Abstrakty

EN

Parametric modeling of multivariate data, compared to the univariate case it is another class of problems. The normal distribution as an assumption is central by default, because of the wealth of multivariate statistical theory available exclusively for parametric model. On the other hand, some part of this theory does not permit the dimension d to exceed the sample size ».To avoid assuming normality as a default, nonparametric approaches are thus even more significant in the multivariate case. Nonparametric methods need much more development, however, this is still not easy. The practical goal becomes robust parametric modeling. It also can be desirable that nonparametric approaches work meaningfully in parametric settings. In this paper we try to discuss some clue problem connected with dimensionality of real data in research. (fragment of text)

Słowa kluczowe

EN

Risk management; Mathematical models; Econometric models

PL

Zarządzanie ryzykiem; Modele matematyczne; Modele ekonometryczne

• Czasopismo: Prace Naukowe / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2015
• Tom: Modelowanie wielowymiarowych struktur danych i analiza ryzyka
• Strony: 9--21

Twórcy

autor

Grażyna Trzpiot

• University of Economics in Katowice, Poland

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