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Statistics in Transition New Series
Polish Statistical Association
Central Statistical Office of Poland
Subject: Economics, Statistics & Probability
ISSN: 1234-7655
eISSN: 2450-0291
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POWER GENERALIZATION OF CHEBYSHEV’S INEQUALITY – MULTIVARIATE CASE
Keywords : multivariate Chebyshev’s inequality, Mahalanobis distance, multivariate normal distribution, multivariate t distribution
Citation Information : Statistics in Transition New Series. Volume 20, Issue 3, Pages 155-170, DOI: https://doi.org/10.21307/stattrans-2019-029
License : (CC BY-NC-ND 4.0)
Received Date : 04-March-2019 / Published Online: 04-September-2019
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ARTICLE
ABSTRACT
In the paper some multivariate power generalizations of Chebyshev’s inequality and their improvements will be presented with extension to a random vector with singular covariance matrix. Moreover, for these generalizations, the cases of the multivariate normal and the multivariate t distributions will be considered. Additionally, some financial application will be presented.
FIGURES & TABLES
REFERENCES
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