Questions tagged [elliptical-distribution]
8 questions
9
votes
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Distribution of the Rayleigh quotient
For a research project I need to find the expected value of the generalized Rayleigh quotient:
$$E\,[w^T A w \ / \ w^T B w].$$ Here A and B are positive definite deterministic p x p covariance matrices, and w follows a multivariate distribution with…
Stats
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5
votes
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Joint distribution of two t-distributions with different degrees of freedom
Let $x$ and $y$ be 2 random variables with t-distributions with mean = 0 but different degrees of freedom. Can their joint distribution be elliptical?
dayum
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Estimation of common variance in elliptical distribution
Suppose you observe a random $p$-vector $X$ which follows an elliptical
distribution with mean zero, covariance $\sigma^2 I$ and (unknown) distribution
function $g$. Given a single observation of $X$, how would you estimate
$\sigma$?
Note that…
shabbychef
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generate multivariate cauchy random variable
How can we generate multivariate random variable in matlab?
Will the set of t distribution with 1 degree of freedom will give multivairate cauchy noise, How to generate?
undefined
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Distribution of a linear combination of the components of an elliptically distributed random vector
What is the distribution of a linear combination of the components of an elliptically distributed random vector? Is the linear combination an elliptically distributed random variable?
bob sherman
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Proof involving elliptically symmetric distributions in regression analysis
Let me start by setting the scene and stating the theorem. I just want some pointers on how to follow the proof.
Let $y$ be an observable, $n$-dimensional random vector and $f$ be a known, Borel measurable, vector function such that
$$ f:…
Stéphane
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vote
1 answer
Difference between bivariate exponential family and bivariate elliptical family
I'm studying the elliptical family and I'd like to know the principal differences between the bivariate exponential and elliptical family.
Wagner Jorge
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What are elliptical errors?
When can we have elliptical errors in linear regression?
Timothy Aiyepola
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