POWER GENERALIZATION OF CHEBYSHEV’S INEQUALITY – MULTIVARIATE CASE
POWER GENERALIZATION OF CHEBYSHEV’S INEQUALITY – MULTIVARIATE CASE
Author(s): Katarzyna BudnySubject(s): Economy
Published by: Główny Urząd Statystyczny
Keywords: multivariate Chebyshev’s inequality; Mahalanobis distance; multivariate normal distribution; multivariate t distribution
Summary/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.
Journal: Statistics in Transition. New Series
- Issue Year: 20/2019
- Issue No: 3
- Page Range: 155-170
- Page Count: 16
- Language: English
