Power generalization of Chebyshev’s inequality – multivariate case

• Authors: Katarzyna Budny

Abstracts

EN

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.

Keywords

EN

multivariate Chebyshev’s inequality; Mahalanobis distance; multivariate normal distribution; multivariate t distribution

• Publisher: Główny Urząd Statystyczny
• Journal: Statistics in Transition new series
• Year: 2019
• Volume: 20
• Issue: 3
• Pages: 155-170

Contributors

author

Katarzyna Budny

• Department of Mathematics, Cracow University of Economics, Poland

• https://orcid.org/0000000236830327

Identifiers

DOI

10.21307/stattrans-2019-029

Biblioteka Nauki

1193069