IDEAS home Printed from https://ideas.repec.org/a/spr/stpapr/v50y2009i3p605-615.html
   My bibliography  Save this article

The product t density distribution arising from the product of two Student’s t PDFs

Author

Listed:
  • Saralees Nadarajah

Abstract

No abstract is available for this item.

Suggested Citation

  • Saralees Nadarajah, 2009. "The product t density distribution arising from the product of two Student’s t PDFs," Statistical Papers, Springer, vol. 50(3), pages 605-615, June.
    • Handle: RePEc:spr:stpapr:v:50:y:2009:i:3:p:605-615
    DOI: 10.1007/s00362-007-0088-x
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00362-007-0088-x
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s00362-007-0088-x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Fuentes, Miguel A. & Kuperman, M. & Iglesias, J.R., 2006. "Living in an irrational society: Wealth distribution with correlations between risk and expected profits," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(1), pages 112-117.
    2. Dennis Lindley, 1983. "Reconciliation of Probability Distributions," Operations Research, INFORMS, vol. 31(5), pages 866-880, October.
    3. M. A. Fuentes & M. N. Kuperman & J. R. Iglesias, 2006. "Living in an Irrational Society: Wealth Distribution with Correlations between Risk and Expected Profits," Papers physics/0603076, arXiv.org.
    4. Kotz,Samuel & Nadarajah,Saralees, 2004. "Multivariate T-Distributions and Their Applications," Cambridge Books, Cambridge University Press, number 9780521826549, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Julia Adamska & Łukasz Bielak & Joanna Janczura & Agnieszka Wyłomańska, 2022. "From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student’s t -Distribution Case," Mathematics, MDPI, vol. 10(18), pages 1-29, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Catania, Leopoldo & Proietti, Tommaso, 2020. "Forecasting volatility with time-varying leverage and volatility of volatility effects," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1301-1317.
    2. Jondeau, Eric, 2016. "Asymmetry in tail dependence in equity portfolios," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 351-368.
    3. Punzo, Antonio & Bagnato, Luca, 2022. "Dimension-wise scaled normal mixtures with application to finance and biometry," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
    4. Baltagi, Badi H. & Bresson, Georges & Chaturvedi, Anoop & Lacroix, Guy, 2022. "Robust Dynamic Space-Time Panel Data Models Using ?-Contamination: An Application to Crop Yields and Climate Change," IZA Discussion Papers 15815, Institute of Labor Economics (IZA).
    5. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
    6. Arismendi, J.C., 2013. "Multivariate truncated moments," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 41-75.
    7. Basak, Indrani, 1998. "Probabilistic judgments specified partially in the analytic hierarchy process," European Journal of Operational Research, Elsevier, vol. 108(1), pages 153-164, July.
    8. Balakrishnan, N. & Hashorva, E., 2011. "On Pearson-Kotz Dirichlet distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 948-957, May.
    9. Nason, Guy P., 2006. "On the sum of t and Gaussian random variables," Statistics & Probability Letters, Elsevier, vol. 76(12), pages 1280-1286, July.
    10. Torri, Gabriele & Giacometti, Rosella & Tichý, Tomáš, 2021. "Network tail risk estimation in the European banking system," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    11. Ñíguez, Trino-Manuel & Perote, Javier, 2016. "Multivariate moments expansion density: Application of the dynamic equicorrelation model," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 216-232.
    12. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
    13. Singh, Vikas Vikram & Lisser, Abdel & Arora, Monika, 2021. "An equivalent mathematical program for games with random constraints," Statistics & Probability Letters, Elsevier, vol. 174(C).
    14. Jason R. W. Merrick, 2008. "Getting the Right Mix of Experts," Decision Analysis, INFORMS, vol. 5(1), pages 43-52, March.
    15. Landsman, Zinoviy & Makov, Udi & Shushi, Tomer, 2016. "Tail conditional moments for elliptical and log-elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 179-188.
    16. Brechmann, Eike C. & Hendrich, Katharina & Czado, Claudia, 2013. "Conditional copula simulation for systemic risk stress testing," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 722-732.
    17. Erin Baker & Olaitan Olaleye, 2013. "Combining Experts: Decomposition and Aggregation Order," Risk Analysis, John Wiley & Sons, vol. 33(6), pages 1116-1127, June.
    18. Arellano-Valle, Reinaldo B. & Azzalini, Adelchi, 2021. "A formulation for continuous mixtures of multivariate normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 185(C).
    19. Galimberti, Giuliano & Soffritti, Gabriele, 2014. "A multivariate linear regression analysis using finite mixtures of t distributions," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 138-150.
    20. V. Maume-Deschamps & D. Rullière & A. Usseglio-Carleve, 2018. "Spatial Expectile Predictions for Elliptical Random Fields," Methodology and Computing in Applied Probability, Springer, vol. 20(2), pages 643-671, June.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:stpapr:v:50:y:2009:i:3:p:605-615. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.