113 citations · 569 across the 28 of their papers we have counts for
3 papers · 2 filters
Testing for Independence of Large Dimensional Vectors
Taras Bodnar, Holger Dette, Nestor Parolya
In this paper new tests for the independence of two high-dimensional vectors are investigated. We consider the case where the dimension of the vectors increases with the sample siz…
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility
David Bauder, Taras Bodnar, Nestor Parolya +1
We consider the estimation of the multi-period optimal portfolio obtained by maximizing an exponential utility. Employing Jeffreys' non-informative prior and the conjugate informat…
Discriminant analysis in small and large dimensions
Taras Bodnar, Stepan Mazur, Edward Ngailo +1
We study the distributional properties of the linear discriminant function under the assumption of normality by comparing two groups with the same covariance matrix but different m…