1 citations · 3 across the 21 of their papers we have counts for
3 papers · 1 filter
Risk Measures and Credit Risk Under the Beta-Kotz Distribution
Jean-Michel Loubes, M Andrea Arias-Serna, Francisco Caro-Lopera
This paper considers the use for Value-at-Risk computations of the so-called Beta-Kotz distribution based on a general family of distributions including the classical Gaussian mode…
Multivector variate distributions: An application in Finance
Jose. A. Diaz-Garcia, Francisco J. Caro-Lopera, Fredy O. Perez Ramirez
A new family of multivariate distributions, which shall be termed multivector variate distributions, based in the family of the multivariate contoured elliptically distribution is…
Matrix variate Birnbaum-Saunders distribution under elliptical models
Jose A. Diaz-Garcia, Francisco J. Caro-Lopera
This paper derives the elliptical matrix variate version of the well known univariate Birnbaum and Saunders distribution. A generalisation based on a matrix transformation is propo…