Chindhanai Uthaisaad

WorldQuant

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Scholarly Papers (1)

1.

The Azzalini Skew-t Information Matrix Evaluation and Use for Standard Error Calculations

Number of pages: 49 Posted: 05 Oct 2018
Chindhanai Uthaisaad and R. Douglas Martin
WorldQuant and University of Washington
Downloads 28 (588,403)

Abstract:

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skew-t distribution, expected information matrix, maximum penalized likelihood estimate, MPLE standard errors