Estimation and testing of the commutative quadratic covariance structure under multivariate t distribution
Katarzyna Filipiak, Daniel Klein, Stepan Mazur, Monika Mokrzycka
0 citationsTest
Stepan Mazur
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57Publications signalées
451Citations signalées
1Affiliations récentes
Institutions déclarées
Domaines associés
Financial Risk and Volatility ModelingComplex Systems and Time Series AnalysisStochastic processes and financial applicationsRandom Matrices and ApplicationsAdvanced Statistical Methods and Models
Publications récentes
On the Joint Distribution of a Quadratic and a Linear Form in Normal Random Variables
Raymond Kan, Taras Bodnar, Stepan Mazur
0 citationsSSRN Electronic Journal
Likelihood ratio test for covariance matrix under multivariate t distribution with uncorrelated observations
Katarzyna Filipiak, Daniel Klein, Stepan Mazur, Malwina Mrowińska
2 citationsJournal of Multivariate Analysis
Matrix variate gamma distributions with unrestricted shape parameter
Tomasz J. Kozubowski, Stepan Mazur, Krzysztof Podgórski
1 citationJournal of Multivariate Analysis
Minimum VaR and minimum CVaR optimal portfolios: The case of singular covariance matrix
Mårten Gulliksson, Stepan Mazur, Anna Oleynik
4 citationsResults in Applied Mathematics
VAR Models with Fat Tails and Dynamic Asymmetry
Tamás Kiss, Stepan Mazur, Hoang Nguyen, Pär Österholm
0 citations
The method of moments for multivariate random sums in the Poisson-Skew-Normal case
Farrukh Javed, Nicola Loperfido, Stepan Mazur
1 citationStatistics & Probability Letters
A test on the location of tangency portfolio for small sample size and singular covariance matrix
Svitlana Drin, Stepan Mazur, Stanislas Muhinyuza
3 citationsModern Stochastics Theory and Applications
The Method of Moments for Multivariate Random Sums
Nicola Loperfido, Farrukh Javed, Stepan Mazur
0 citationsSSRN Electronic Journal
Estimation of Optimal Portfolio Compositions for Small Sample and Singular Covariance Matrix
Taras Bodnar, Stepan Mazur, Hoang Nguyen
2 citations
Shrinkage Estimation of the Intercept Parameter in Linear Regression
Nahla Elbassouni, Thomas Holgersson, Stepan Mazur
0 citations
Matrix variate generalized asymmetric Laplace distributions
Tomasz J. Kozubowski, Stepan Mazur, Krzysztof Podgórski
7 citationsTheory of Probability and Mathematical Statistics
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