The distribution of the covariance matrix for a subset of elliptical distributions with extension to two kurtosis parameters (Q1817498): Difference between revisions

To study the influence of deviations from normality the class of elliptical distributions, which introduces a single kurtosis parameter \(\kappa\), is often considered in statistical theory to provide a wider model than the multivariate normal in multivariate analysis. In this paper an expression for the moment generating function of the distribution of the sampling covariance matrix for a subclass of elliptical distributions is first derived and is then generalized to include distributions containing two kurtosis parameters.