A longstanding difficulty in multivariate statistics is identifying and evaluating nonnormal data structures in high dimensions with high statistical efficiency and low search effort. Here the ...

Estimates of parameters of a singly truncated bivariate normal distribution have been directly obtained using eight (or nine) moments. Asymptotic variances and covariances of these estimates are given ...

Recent advances in estimation techniques have underscored the growing importance of shrinkage estimation and balanced loss functions in the analysis of multivariate normal distributions. These ...

It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...