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How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market
Multivariate Kurtosis Dynamics N-Dimensional Market
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2012/9/14
This paper investigates the common intuition suggesting that dur-ing crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges th...
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
exponential weighted moving average time -varying higher moments Cornish-Fisher expansion Gram -Charlier density risk management Value-at -Risk
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2012/9/14
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that joint...
Robust Independent Component Analysis by Iterative Maximization of the Kurtosis Contrast with Algebraic Optimal Step Size
Atrial fibrillation (AF) blind source separation (BSS) independent component analysis (ICA) iterative optimization kurtosis
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2010/3/10
Independent component analysis (ICA) aims at decomposing an observed random vector into
statistically independent variables. Deflation-based implementations, such as the popular one-unit FastICA algo...
Variance and kurtosis-based characterization of resonances in stochastic transmission lines: local versus global random geometries
Variance and kurtosis-based characterization stochastic transmission lines global random geometries
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2010/1/11
A stochastic method is proposed to characterize electromagnetic couplings involving geometrically perturbed transmission lines. A combined exploitation of suitably defined statistical tools is present...
Skewness and Kurtosis for Maximum Likelihood Estimator in One-Parameter Exponential Family Models
Maximum Likelihood Estimator One-Parameter Exponential Family Models
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2009/9/18
Skewness and Kurtosis for Maximum Likelihood Estimator in One-Parameter Exponential Family Models。
Kurtosis Orderings for Two-Sided Power Distributions
Kurtosis Orderings Two-Sided Power Distributions
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2009/9/17
Kurtosis Orderings for Two-Sided Power Distributions。