Elliptical distributions



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Culan, Christophe, and Claude Adnet. 2016. “Regularized Maximum Likelihood Estimation of Covariance Matrices of Elliptical Distributions.” November 30, 2016. http://arxiv.org/abs/1611.10266.
Fang, Kaitai, and Yao-ting Zhang. 1990. Generalized Multivariate Analysis. Beijing: Science Press.
Gupta, A. K., T. Varga, and Taras Bodnar. 2013. Elliptically Contoured Models in Statistics and Portfolio Theory. Second edition. New York: Springer.
Landsman, Zinoviy, and Johanna Nešlehová. 2008. “Stein’s Lemma for Elliptical Random Vectors.” Journal of Multivariate Analysis 99 (5): 912–27. https://doi.org/10.1016/j.jmva.2007.05.006.
Landsman, Zinoviy, Steven Vanduffel, and Jing Yao. 2013. “A Note on Stein’s Lemma for Multivariate Elliptical Distributions.” Journal of Statistical Planning and Inference 143 (11): 2016–22. https://doi.org/10.1016/j.jspi.2013.06.003.
Ley, Christophe, Slađana Babić, and Domien Craens. 2021. “Flexible Models for Complex Data with Applications.” Annual Review of Statistics and Its Application 8 (1): 369–91. https://doi.org/10.1146/annurev-statistics-040720-025210.
Owen, Joel, and Ramon Rabinovitch. 1983. “On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice.” The Journal of Finance 38 (3): 745–52. https://doi.org/10.1111/j.1540-6261.1983.tb02499.x.

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