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David Sam Jayakumar, G.S.
- A New Generalisation of Sam-solai's Multivariate Cauchy Distribution of Type-I
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Authors
Affiliations
1 Associate Professor of Mathematics, Jamal Mohamed College, Tiruchirappalli, Tamilnadu, IN
2 Assistant Professor, Jamal Institute of Management, Jamal Mohamed College, Tiruchirappalli, South India, IN
3 Assistant Professor in Mathematics, V.M.K.V. Engineering College, Salem, Tamilnadu, IN
1 Associate Professor of Mathematics, Jamal Mohamed College, Tiruchirappalli, Tamilnadu, IN
2 Assistant Professor, Jamal Institute of Management, Jamal Mohamed College, Tiruchirappalli, South India, IN
3 Assistant Professor in Mathematics, V.M.K.V. Engineering College, Salem, Tamilnadu, IN
Source
Global Journal of Theoretical and Applied Mathematics Sciences, Vol 2, No 1 (2012), Pagination: 49-61Abstract
This paper proposed a new generalization of family of Sarmanov type Continuous multivariate symmetric probability distributions. More specifically the author visualizes a new generalization of Multivariate Cauchy distribution of Type-I from the univariate Cauchy distribution. Further, the Marginal, Conditional and Bi-variate case of this distribution was also discussed. Moreover, it is found that the Mean, Variance, product moments and generating functions of Sam's Multivariate and Bi-variate conditional Cauchy distribution are also undefined due to nature and non-convergence of the probability integral.Keywords
Sam-solai’s Multivariate Cauchy Distribution, Standard Cauchy Distribution, Cumulative Cauchy Distribution
References
- Arnold, B. C. and Beaver, R. J. (2000). The skew-Cauchy distribution. Statist. Probab. Lett. 49, 285-290.
- I.S. Gradshteyn and I.M. Ryzhik (2000), Table of Integrals, Series, and Products (sixth edition), Academic Press, San Diego, CA.
- A.P. Prudnikov, Y.A. Brychkov and O.I. Marichev (1986) , Integrals and Series (vol. 1, 2 and 3), Gordon and Breach Science Publishers, Amsterdam.
- Branco, M. D. and Dey, D. K. (2001). A general class of multivariate skewelliptical distributions. J. Multivariate Anal. 79, 99-113.
- Arnold, B. C. and Beaver, R. J. (2002). Skewed multivariate models related to hidden truncation and/or selective reporting. Test 11, 7-54.
- Genton, M. G. and Loper_do, N. (2002). Generalized skew-elliptical distributions and their quadratic forms. Institute of Statistics Mimeo Series #2539, to appear in Ann. Inst.Statist. Math.
- S. Nadarajah and S. Kotz, (2006) A truncated Cauchy distribution, Internat. J. Math. Ed. Sci. Tech.37, 605 – 607.
- A New Generalisation of Sam-solai's Multivariate Cauchy Distribution of Type-II
Abstract Views :318 |
PDF Views:0
Authors
Affiliations
1 Associate Professor of Mathematics, Jamal Mohamed College, Tiruchirappalli, Tamilnadu, IN
2 Assistant Professor, Jamal Institute of Management, Jamal Mohamed College, Tiruchirappalli, South India, IN
3 Assistant Professor in Mathematics, V.M.K.V. Engineering College, Salem, Tamilnadu, IN
1 Associate Professor of Mathematics, Jamal Mohamed College, Tiruchirappalli, Tamilnadu, IN
2 Assistant Professor, Jamal Institute of Management, Jamal Mohamed College, Tiruchirappalli, South India, IN
3 Assistant Professor in Mathematics, V.M.K.V. Engineering College, Salem, Tamilnadu, IN
Source
Global Journal of Theoretical and Applied Mathematics Sciences, Vol 2, No 1 (2012), Pagination: 63-75Abstract
This paper proposed a new generalization of family of Sarmanov type Continuous multivariate symmetric probability distributions. More specifically the author visualizes a new generalization of Multivariate Cauchy distribution of Type-II from the univariate Cauchy distribution. Further, the Marginal, Conditional and Bi-variate case of this distribution was also discussed. Moreover, it is found that the Mean, Variance, product moments and generating functions of Sam-Solai's Multivariate and Bi-variate conditional Cauchy distribution are also undefined due to nature and non-convergence of the probability integral.References
- Arnold, B. C. and Beaver, R. J. (2000). The skew-Cauchy distribution. Statist. Probab. Lett. 49, 285-290.
- I.S. Gradshteyn and I.M. Ryzhik, Table of Integrals, Series, and Products (sixth edition), Academic Press, San Diego, CA., 2000
- A.P. Prudnikov, Y.A. Brychkov and O.I. Marichev, Integrals and Series (vol. 1, 2 and 3), Gordon and Breach Science Publishers, Amsterdam, 1986
- Branco, M. D. and Dey, D. K. (2001). A general class of multivariate skewelliptical distributions. J. Multivariate Anal. 79, 99-113.
- Arnold, B. C. and Beaver, R. J. (2002). Skewed multivariate models related to hidden truncation and/or selective reporting. Test 11, 7-54.
- Genton, M. G. and Loper_do, N. (2002). Generalized skew-elliptical distributions and their quadratic forms. Institute of Statistics Mimeo Series #2539, to appear in Ann. Inst. Statist. Math.
- S. Nadarajah and S. Kotz, (2006) A truncated Cauchy distribution, Internat. J. Math. Ed. Sci. Tech.37,605–607.
- Diagnosing The Conditional Dependence Between Returns And Risk With Vector Autoregressive Model During Covid Crisis
Abstract Views :163 |
PDF Views:0
Authors
Affiliations
1 Research scholar, Jamal Institute of Management, Jamal Mohamed College (Affiliated to Bharathidasan University) Trichy – 620 020, IN
2 Associate Professor, Jamal Institute of Management, Jamal Mohamed College Affiliated to Bharathidasan University Tiruchirappalli 620 020, IN
1 Research scholar, Jamal Institute of Management, Jamal Mohamed College (Affiliated to Bharathidasan University) Trichy – 620 020, IN
2 Associate Professor, Jamal Institute of Management, Jamal Mohamed College Affiliated to Bharathidasan University Tiruchirappalli 620 020, IN
Source
Parikalpana: KIIT Journal of Management, Vol 18, No 2 (2022), Pagination: 43-52Abstract
Introduction: This paper proposed two separate tests for checking the conditional dependence between returns and risk of selected securities using Vector Autoregressive (VAR) model. Methodology: The proposed first test is based on Special Wald’s F-statistic. This test was employed in order to check whether the expected returns conditionally depend on risk and past year returns if the returns follow normal distribution. Similarly, in order to scrutinize the conditional dependence of risk on return and past years risk, the second test based on Lagrange’s multiplier (LM) statistic was employed. The methodology consists to model the data over the security returns of selected 5 companies under FMCG Industry listed in National Stock Exchange (NSE), India over the period between Jan 1, 2020 to Dec 31, 2020. Results: From the result of the study, it is revealed that even though the stock liquidity of Britannia and Marico is good, their expected returns reveals that this was not a deciding factor on their past year risk and return during the period of the study. And also Nestle and ITC proved to be their risk has an influence over their past risk and past returns.Keywords
returns, risk, conditional dependence, autoregression, vector autoregression, heteroscedasticity, Special Wald test, Lagrange’s multiplier testFull Text
References
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- Phillips, P. C. (1995). Fully modified least squares and vector autoregression. Econometrica: Journal of the Econometric Society, 1023-1078.
- Subudhi, R.N. (2019), “Testing of Hypothesis: Concepts and Applications”, Subudhi, R.N. and Mishra, S. (Ed.) Methodological Issues in Management Research: Advances, Challenges, and the Way Ahead, Emerald Publishing Limited, Bingley, pp. 127-143. https://doi.org/10.1108/978-1-78973-973-220191009
- Wong, C. S., & Li, W. K. (2000). On a mixture autoregressive model. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 62(1), 95-115.