Characterization of normality within the class of elliptical contoured distributions

DOI10.1016/0167-7152(87)90036-8MaRDI QIDQ1086940zbMATH OpenOpenAlexFDO

Authors Rahul Mukerjee, Chinubal G. Khatri

Publication date 1987

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(87)90036-8

zbMATH Keywords

chi-square distributionelliptically contoured distributionmultivariate normal distributionquadratic form

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Review text

This paper shows that a quadratic form x'Ax, where x follows an elliptically contoured distribution in \(R^ p\), will have a chi-square distribution if and only if x follows a multivariate normal distribution with mean 0 and a suitable covariance matrix, and A is a suitable \(p\times p\) matrix.

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Cites work

• On the theory of elliptically contoured distributions

Cited in

(4)

• Correcting remarks on Characterization of normality within the class of elliptical contoured distributions
• On some characterizations of the \(t\)-distribution
• scientific article; zbMATH DE number 4169875 (Why is no real title available?)
• On some characterizations of spherical distributions

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