Elliptically Contoured Models in Statistics and Portfolio Theory fully
revises the first detailed introduction to the theory of matrix variate
elliptically contoured distributions. There are two additional chapters,
and all the original chapters of this classic text have been updated.
Resources in this book will be valuable for researchers, practitioners,
and graduate students in statistics and related fields of finance and
engineering. Those interested in multivariate statistical analysis and
its application to portfolio theory will find this text immediately
useful. In multivariate statistical analysis, elliptical distributions
have recently provided an alternative to the normal model. Elliptical
distributions have also increased their popularity in finance because of
the ability to model heavy tails usually observed in real data. Most of
the work, however, is spread out in journals throughout the world and is
not easily accessible to the investigators. A noteworthy function of
this book is the collection of the most important results on the theory
of matrix variate elliptically contoured distributions that were
previously only available in the journal-based literature. The content
is organized in a unified manner that can serve an a valuable
introduction to the subject.