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

DOI10.1006/JMVA.1996.0041zbMATH Open0878.62041OpenAlexW1966595627MaRDI QIDQ1817498FDOQ1817498

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

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

zbMATH Keywords

elliptical distributionscovariance matrixmoment generating functionkurtosis parameters

Mathematics Subject Classification ID

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

Cited In (7)

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

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