Acta Physica Polonica B

Vol. 36, No. 9, September 2005, page 2785

Statistical Inference of Multivariate Distribution Parameters for Non-Gaussian Distributed Time Series

P. Repetowicz, P. Richmond

We consider a portfolio of stocks whose returns conform to a { stationary}, multivariate distribution whose all integer moments are finite. For this portfolio we derive the distribution of eigenvalues of various sample covariance matrices and the moments of the eigenvalue distribution, for a particular type of distribution, in terms of the parameters of the portfolio distribution.

PACS numbers: 02.50.--r, 02.50.Ph, 02.50.Sk, 05.40.--a


 
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