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

covariance matrixelliptical distributionskurtosis parametersmoment generating function

Mathematics Subject Classification ID

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

Review text

To study the influence of deviations from normality the class of elliptical distributions, which introduces a single kurtosis parameter \(\kappa\), is often considered in statistical theory to provide a wider model than the multivariate normal in multivariate analysis. In this paper an expression for the moment generating function of the distribution of the sampling covariance matrix for a subclass of elliptical distributions is first derived and is then generalized to include distributions containing two kurtosis parameters.

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

(8)

• On the problem of more than one kurtosis parameter in multivariate analysis
• Tail-thickness in terms of COV(\(X_{j}^{2}\),\(X_{p}^{2}\)) in the class of elliptical distributions.
• Some theoretical properties of two kurtosis matrices, with application to invariant coordinate selection
• 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
• Assessing the effect of kurtosis deviations from Gaussianity on conditional distributions
• Characterizing parameters of multivariate elliptical distributions^*
• ON THE ESTIMATION OF KURTOSIS PARAMETER IN ELLIPTICAL DISTRIBUTIONS

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