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math.ST2022
Estimation of sub-Gaussian random vectors using the method of moments
Taras Bodnar, Dmitry Otryakhin, Erik Thorsen
The sub-Gaussian stable distribution is a heavy-tailed elliptically contoured law which has interesting applications in signal processing and financial mathematics. This work addre…
math.ST2016
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension
Taras Bodnar, Stepan Mazur, Stanislas Muhinyuza +1
In this paper we consider the product of a singular Wishart random matrix and a singular normal random vector. A very useful stochastic representation is derived for this product,…