POWER GENERALIZATION OF CHEBYSHEV’S INEQUALITY – MULTIVARIATE CASE

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Statistics in Transition New Series

Polish Statistical Association

Central Statistical Office of Poland

Subject: Economics , Statistics & Probability

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ISSN: 1234-7655
eISSN: 2450-0291

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VOLUME 20 , ISSUE 3 (September 2019) > List of articles

POWER GENERALIZATION OF CHEBYSHEV’S INEQUALITY – MULTIVARIATE CASE

Katarzyna Budny

Keywords : multivariate Chebyshev’s inequality, Mahalanobis distance, multivariate normal distribution, multivariate t distribution

Citation Information : Statistics in Transition New Series. Volume 20, Issue 3, Pages 155-170, DOI: https://doi.org/10.21307/stattrans-2019-029

License : (CC BY-NC-ND 4.0)

Received Date : 04-March-2019 / Published Online: 04-September-2019

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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.

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REFERENCES

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