The Canadian Journal of Statistics / La Revue Canadienne de Statistique, Vol. 6, No. 1 (1978), pp. 49-56 (8 pages) An asymptotic expansion is given for the distribution of the α-th largest latent root ...

X ij = [x ij1, ... , x ijp]' The Generalized Estimating Equation of Liang and Zeger (1986) for estimating the p ×1 vector of regression parameters is an extension of the independence estimating ...

This is a preview. Log in through your library . Abstract Correlation matrices play a key role in many multivariate methods (e.g., graphical model estimation and factor analysis). The current state-of ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...

Random sampling from a multivariate normal distribution is essential for Monte Carlo simulations in many credit risk models. For a portfolio of N obligors, standard methods usually require O(N2) ...