A family of kurtosis orderings for multivariate distributions

Jin Wang

Journal of Multivariate Analysis, 2009, vol. 100, issue 3, 509-517

Abstract: In this paper, a family of kurtosis orderings for multivariate distributions is proposed and studied. Each ordering characterizes in an affine invariant sense the movement of probability mass from the "shoulders" of a distribution to either the center or the tails or both. All even moments of the Mahalanobis distance of a random vector from its mean (if exists) preserve a subfamily of the orderings. For elliptically symmetric distributions, each ordering determines the distributions up to affine equivalence. As applications, the orderings are used to study elliptically symmetric distributions. Ordering results are established for three important families of elliptically symmetric distributions: Kotz type distributions, Pearson Type VII distributions, and Pearson Type II distributions.

Keywords: primary; 62G05 secondary; 62H05 Kurtosis Peakedness Tailweight Ordering Elliptically symmetric distributions (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (8)

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