The distribution of the covariance matrix for a subset of elliptical distributions with extension to two kurtosis parameters

DOI10.1006/JMVA.1996.0041MaRDI QIDQ1817498zbMATH OpenOpenAlexFDO

Authors H. S. Steyn

Publication date 11 February 1997

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

Full work available at URL https://doi.org/10.1006/jmva.1996.0041

zbMATH Keywords

elliptical distributionscovariance matrixmoment generating functionkurtosis parameters

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• On the problem of more than one kurtosis parameter in multivariate analysis
• Characterizing parameters of multivariate elliptical distributions^*
• ON THE ESTIMATION OF KURTOSIS PARAMETER IN ELLIPTICAL DISTRIBUTIONS
• Mardia's coefficient of kurtosis in elliptical populations

Cited in

(7)

• On the problem of more than one kurtosis parameter in multivariate analysis
• On the asymptotic distributions of two statistics for two-level covariance structure models within the class of elliptical distributions
• Tail-thickness in terms of COV(\(X_{j}^{2}\),\(X_{p}^{2}\)) in the class of elliptical distributions.
• Assessing the effect of kurtosis deviations from Gaussianity on conditional distributions
• Some theoretical properties of two kurtosis matrices, with application to invariant coordinate selection
• On Mardia's and Song's measures of kurtosis in elliptical distributions
• Characterizing parameters of multivariate elliptical distributions^*

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