Tag: multivariate-statistics
Concepts
- Archimedean Copulas: Clayton, Gumbel and Frank
- Bartlett's Test of Sphericity and the KMO Measure
- Box's M Test for Covariance Homogeneity
- Canonical Correlation Analysis
- Choosing a Covariance Shrinkage Target
- Covariance Estimation With Unequal History
- Distance and Similarity Measures for Assets
- Eigenvalue Clipping and Rotationally Invariant Estimators
- Exponentially Weighted Covariance and Half-Life Choice
- The Graphical Lasso and Sparse Precision Matrices
- Horn's Parallel Analysis
- Hotelling's T-Squared Test
- Mahalanobis Distance and Multivariate Outliers
- MANOVA and Wilks' Lambda
- Mardia's Tests for Multivariate Normality
- Multidimensional Scaling
- Partial Correlation Networks of Assets
- Procrustes Analysis and Shape Alignment
- Quadratic and Regularized Discriminant Analysis
- Reduced-Rank Regression
- The Robustness Versus Efficiency Tradeoff
- The Multivariate General Linear Model
- The Sample Covariance Matrix and Eigenvalue Bias
- Varimax and Oblique Factor Rotation
- Vine Copulas for High-Dimensional Dependence