ON MULTIVARIATE SKEWNESS AND KURTOSIS

被引：69
|
作者：
MORI, TF
ROHATGI, VK
SZEKELY, GJ
机构：
[1] EOTVOS LORAND UNIV, H-1364 BUDAPEST 5, HUNGARY
[2] BOWLING GREEN STATE UNIV, BOWLING GREEN, OH 43403 USA
来源：
THEORY OF PROBABILITY AND ITS APPLICATIONS | 1993年 / 38卷 / 03期
关键词：
MULTIVARIATE SKEWNESS; KURTOSIS; INFINITELY DIVISIBLE DISTRIBUTIONS;
D O I：
10.1137/1138055
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Let X be a d-dimensional standardized random variable (E(X) = 0, cov(X) = 1). Then for a multivariate analogue of skewness s = E (parallel-to X parallel-to 2X) and kurtosis k = EXX(T)XX(T)-(d+2)I we show that parallel-to s parallel-to 2 < tr k + 2d. For infinitely divisible distributions parallel-to s parallel-to 2 less-than-or-equal-to tr k.
引用
收藏
页码：547 / 551
页数：5
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