On a Vector-Valued Measure of Multivariate Skewness

The canonical skewness vector is an analytically simple function of the third-order, standardized moments of a random vector. Statistical applications of this skewness measure include semiparametric modeling, independent component analysis, model-based clustering, and multivariate normality testing. This paper investigates some properties of the canonical skewness vector with respect to representations, transformations, and norm. In particular, the paper shows its connections with tensor contraction, scalar measures of multivariate kurtosis and Mardia's skewness, the best-known scalar measure of multivariate skewness. A simulation study empirically compares the powers of tests for multivariate normality based on the squared norm of the canonical skewness vector and on Mardia's skewness. An example with financial data illustrates the statistical applications of the canonical skewness vector.