P. Hansen

collaborators

9 papers

math.ST2026

Bartlett Couplings of the Onion and Vine LKJ Samplers

Peter Reinhard Hansen

The extended-onion and C-vine constructions of Lewandowski, Kurowicka and Joe (2009) are standard methods for sampling from the $LKJ_{n} (η)$ distribution on correlation matr…

math.PR2026

Correlation Matrices in High Dimensions: The Elliptope as a Sample-Correlation Ensemble

Peter Reinhard Hansen

The set of $n \times n$ correlation matrices, known as the elliptope, has volume decaying at the super-exponential rate $exp {- \frac{1}{4} n^{2} lo g n}$ . We characterize where this van…

econ.EM2026

Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity

Xinxian Chen, Peter Reinhard Hansen, Chen Tong

We propose the Split-Session Cluster GARCH model for heavy-tailed multivariate dependence among asset returns decomposed into overnight and intraday components. The model uses conv…

econ.EM2026

Moments by Integrating the Moment-Generating Function

Peter Reinhard Hansen, Chen Tong

We introduce a general integral framework for computing fractional, complex, absolute, and logarithmic moments from the moment-generating function (MGF) under explicit regularity c…

math.NT2026

The Parabolic Mellin Transform: Gamma and Zeta Integral Representations

Peter Reinhard Hansen, Chen Tong

We introduce the Parabolic Mellin Transform (PMT), defined by $P_{I ¨} [f] (z) = \int_{- \infty}^{\infty} w^{2 z} f (w^{2}) d t$ , where $w = I ¨ + i t$ and $I ¨ > 0$ . Under the substitution $u = w^{2}$ , the…

econ.EM2026

Exact Likelihood Inference and Robust Filtering for Gauss-Cauchy Convolution Models

Peter Reinhard Hansen, Chen Tong

The convolution of a Gaussian and a Cauchy distribution, known as the Voigt distribution, is widely used in spectroscopy and provides a natural framework for modeling heavy-tailed…