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On the Problem of More Than One Kurtosis Parameter in Multivariate Analysis

โœ Scribed by H.S. Steyn

Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
743 KB
Volume
44
Category
Article
ISSN
0047-259X

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โœฆ Synopsis

When a multivariate elliptical distribution is used as the basis in multivariate analysis all fourth-order cumulants are expressed in terms of a single kurtosis parameter. This and other well-known properties place unrealistic restrictions on the distribution of the covariance matrix. In this paper a class of elliptical distributions that can be expanded as a power series is first defined. An effort is then made to introduce meaningful multivariate distributions that are related to these elliptical distributions and that contain more than one kurtosis parameter c 1993 Academic Press. Inc

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