A few years have passed since we last published these asset class correlation matrices, but they're always interesting to take a look at. For reference, a correlation coefficient of 1 means the two ...
The Annals of Statistics, Vol. 15, No. 4 (Dec., 1987), pp. 1651-1666 (16 pages) We consider the problem of estimating parameter matrices which occur in the noncentral Wishart, noncentral multivariate ...
This is a preview. Log in through your library . Abstract We derive sufficient conditions for the cross-correlation coefficient of a multivariate spatial process to vary with location when the spatial ...
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) ...
Specify an output data set to contain Hoeffding's D statistics OUTH= Specify an output data set to contain Kendall correlations OUTK= Specify an output data set to contain Pearson correlations OUTP= ...
Claire Boyte-White is the lead writer for NapkinFinance.com, co-author of I Am Net Worthy, and an Investopedia contributor. Claire's expertise lies in corporate finance & accounting, mutual funds, ...
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