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Limit distributions of multivariate kurtosis and moments under Watson rotational symmetric distributions

✍ Scribed by Yi Zhao; Sadanori Konishi

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 414 KB
Volume: 32
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(96)00086-7

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✦ Synopsis

The limit distribution of Mardia's measure of sample multivariate kurtosis is derived for a wide class of multivariate distributions which includes both the family of elliptical and Watson rotational symmetric distributions. Explicit expressions are given for the higher-order moments of Watson rotational symmetric distributions. The problem of constructing approximate confidence intervals for the kurtosis parameter is also discussed.

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