Kurtosis removal for data pre-processing

DOI10.1007/S11634-022-00498-3MaRDI QIDQ6106162zbMATH OpenOpenAlexFDO

Authors Nicola M. R. Loperfido

Publication date 27 June 2023

Published in Advances in Data Analysis and Classification. ADAC (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11634-022-00498-3

zbMATH Keywords

closed skew-normalfinite mixturegaussianizationhigh-dimensionalkurtosisprojection pursuit

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Multivariate distribution of statistics (62H10)

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Cited in

(4)

• Optimal portfolio projections for skew-elliptically distributed portfolio returns
• Generalized implementation of invariant coordinate selection with positive semi-definite scatter matrices
• Tensor eigenvectors for projection pursuit
• Surprising geometrical properties of high-dimension low-sample size data with devastating consequences for data analysis

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