Multivariate Distributions: Spherical and Elliptical

In course

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Description

This lecture covers topics related to spherical and elliptical distributions, including definitions, properties, and examples. It also discusses normal variance mixtures, factor models, and principal component analysis in the context of quantitative risk management.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_hhe0jvwx

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Data analysis: Regression analysis

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