Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...

Recent advances in estimation techniques have underscored the growing importance of shrinkage estimation and balanced loss functions in the analysis of multivariate normal distributions. These ...

A normal approximation to the null distribution of the likelihood ratio statistic for testing the multivariate general linear hypothesis is developed. This approximation is compared with the ...

The Canadian Journal of Statistics / La Revue Canadienne de Statistique Necessary and sufficient conditions are given for the covariance structure of all the observations in a multivariate factorial ...