Moment for the inverse Riesz distributions
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DOI: 10.1016/j.spl.2015.03.010
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References listed on IDEAS
- Kokonendji, Célestin C. & Khoudar, Mohamed, 2006. "On Lévy measures for infinitely divisible natural exponential families," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1364-1368, July.
- Tounsi, Mariem & Zine, Raoudha, 2012. "The inverse Riesz probability distribution on symmetric matrices," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 174-182.
- Andersson, Steen A. & Klein, Thomas, 2010. "On Riesz and Wishart distributions associated with decomposable undirected graphs," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 789-810, April.
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Cited by:
- Abdelhamid Hassairi & Fatma Ktari & Raoudha Zine, 2022. "On the Gaussian representation of the Riesz probability distribution on symmetric matrices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 106(4), pages 609-632, December.
- Andre Lucas & Anne Opschoor & Luca Rossini, 2021. "Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution," Tinbergen Institute Discussion Papers 21-010/III, Tinbergen Institute, revised 11 Jul 2023.
- Kammoun, Kaouthar & Louati, Mahdi & Masmoudi, Afif, 2017. "Maximum likelihood estimator of the scale parameter for the Riesz distribution," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 127-131.
- Gribisch, Bastian & Hartkopf, Jan Patrick, 2023. "Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model," Journal of Econometrics, Elsevier, vol. 235(1), pages 43-64.
- Anne Opschoor & Dewi Peerlings & Luca Rossini & Andre Lucas, 2024. "Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution," Tinbergen Institute Discussion Papers 24-049/III, Tinbergen Institute.
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Keywords
Cholesky decomposition; Inverse Riesz distribution; Riesz distribution;All these keywords.
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