A treatment of multivariate skewness, kurtosis, and related statistics

被引：15
|
作者：
Klar, B [1 ]
机构：
[1] Univ Karlsruhe, Inst Math Stochast, D-76128 Karlsruhe, Germany
来源：
JOURNAL OF MULTIVARIATE ANALYSIS | 2002年 / 83卷 / 01期
关键词：
multivariate skewness; multivariate kurtosis; Neyman's smooth test; components; multivariate normality; elliptically symmetric distributions;
D O I：
10.1006/jmva.2001.2041
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：
This paper gives a unified treatment of the limit laws of different measures of multivariate skewness and kurtosis which are related to components of Neyman's smooth test of fit for multivariate normality. The results are also applied to other multivariate statistics which are built up in a similar way as the smooth components. Special emphasis is given to the case that the underlying distribution is elliptically symmetric. (C) 2002 Elsevier Science (USA).
引用
收藏
页码：141 / 165
页数：25
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