Linear transformations to symmetry

Nicola Loperfido

Journal of Multivariate Analysis, 2014, vol. 129, issue C, 186-192

Abstract: We obtain random vectors with null third-order cumulants by projecting the data onto appropriate subspaces. Statistical applications include, but are not limited to, the robustification of Hotelling’s T2 test against nonnormality. Our approach only requires the existence of the third-order moments and leads to normal transformed variables when the parent distribution belongs to well-known classes of sample selection models.

Keywords: Finite mixture; Multivariate analysis of variance; Nonrandom sampling; Singular value decomposition; Symmetrization (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.jmva.2014.04.018

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