Shortcomings of generalized affine invariant skewness measures

DOI10.1006/JMVA.1999.1823MaRDI QIDQ1808833zbMATH OpenOpenAlexFDO

Authors Steffen Gutjahr, Norbert Henze, Martin Folkers

Publication date 3 January 2001

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmva.1999.1823

zbMATH Keywords

affine invariancemultivariate skewnesselliptically symmetric distributiontesting for multivariate normality

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05)

Recommendations

• Limit distributions for Mardia's measure of multivariate skewness
• Limit distributions for measures of multivariate skewness and kurtosis based on projections
• Limit laws for multivariate skewness in the sense of Móri, Rohatgi and Székely

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Cited in

(9)

• Limit distributions for Mardia's measure of multivariate skewness
• Invariant tests for multivariate normality: A critical review
• Multivariate skewness and kurtosis measures with an application in ICA
• A treatment of multivariate skewness, kurtosis, and related statistics.
• Random orthogonal matrix simulation
• Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness
• Targeting Kollo skewness with random orthogonal matrix simulation
• Sub-dimensional Mardia measures of multivariate skewness and kurtosis
• Goodness-of-fit tests for multivariate Laplace distributions

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