Elliptical distributions


TBD

References

Anderson, T. W. 2006. An Introduction to Multivariate Statistical Analysis. Hoboken, N.J.: Wiley-Interscience.
Cambanis, Stamatis, Steel Huang, and Gordon Simons. 1981. “On the Theory of Elliptically Contoured Distributions.” Journal of Multivariate Analysis 11 (3): 368–85. https://doi.org/10.1016/0047-259X(81)90082-8.
Chamberlain, Gary. 1983. “A Characterization of the Distributions That Imply Mean—Variance Utility Functions.” Journal of Economic Theory 29 (1): 185–201. https://doi.org/10.1016/0022-0531(83)90129-1.
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.
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.