Moments of the multivariate Beta distribution

A voter model on networks and multivariate beta distribution

In elections, the vote shares or turnout rates show a strong spatial correlation. The logarithmic decay with distance suggests that a 2D noisy diffusive equation describes the system. Based on the study of U.S. presidential elections data, it was determined that the fluctuations of vote shares also exhibit a strong and long-range spatial correlation. Previously, it was considered difficult to induce strong and long-range spatial correlation of the vote shares without breaking the empirically observed narrow distribution. We demonstrate that a voter model on networks shows such a behavior. In t…

Beta-binomial/gamma-Poisson regression models for repeated counts with random parameters

Beta-binomial/Poisson models have been used by many authors to model multivariate count data. Lora and Singer (Statistics in Medicine, 2008) extended such models to accommodate repeated multivariate count data with overdipersion in the binomial component. To overcome some of the limitations of that model, we consider a beta-binomial/gamma-Poisson alternative that also allows for both overdispersion and different covariances between the Poisson counts. We obtain maximum likelihood estimates for the parameters using a Newton-Raphson algorithm and compare both models in a practical example.

Multivariate stochastic volatility using state space models

A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distribution to allow for different correlation structure between the observation and state innovation vectors and we extend the convolution between the Wishart and the multivariate singular beta distribution. A multiplicative model based on the generalized inverted Wishart and multivariate singular beta distributions is proposed for the evolution of the volatility and a flexible sequential volatility upd…

Beta分布的Bernstein型界

Bernstein-Type Bounds for Beta Distribution

本文为Beta分布建立了尖锐的Bernstein型指数集中不等式，通过由超几何表示导出的二阶中心矩递推改进已有次高斯和次伽马界。

Projection pursuit based generalized betas accounting for higher order co-moment effects in financial market analysis

Betas are possibly the most frequently applied tool to analyze how securities relate to the market. While in very widespread use, betas only express dynamics derived from second moment statistics. Financial returns data often deviate from normal assumptions in the sense that they have significant third and fourth order moments and contain outliers. This paper targets to introduce a way to calculate generalized betas that also account for higher order moment effects, while maintaining the conceptual simplicity and interpretability of betas. Thereunto, the co-moment analysis projection index (CA…

Moments Calculation For the Doubly Truncated Multivariate Normal Density

In the present article we derive an explicit expression for the trun- cated mean and variance for the multivariate normal distribution with ar- bitrary rectangular double truncation. We use the moment generating ap- proach of Tallis (1961) and extend it to general μ, Σ and all combinations of truncation. As part of the solution we also give a formula for the bivari- ate marginal density of truncated multinormal variates. We also prove an invariance property of some elements of the inverse covariance after trunca- tion. Computer algorithms for computing the truncated mean, variance and the biva…