EconPapers    
Economics at your fingertips  
 

Some remarks on Koziol’s kurtosis

Nicola Loperfido ()

Journal of Multivariate Analysis, 2020, vol. 175, issue C

Abstract: James Koziol, in his 1987 and 1989 papers, proposed to use the sums of either the squared fourth-order cumulants or moments as test statistics for multivariate normality. His proposals are by far less popular than Mardia’s measure of multivariate kurtosis, that is the fourth moment of the Mahalanobis distance of a random vector from its mean. We investigate some properties of Koziol’s measures of multivariate kurtosis which motivate their use in statistical practice. Firstly, we show some of their connections with Mahalanobis angles. Secondly, we use inequalities to highlight their connections with other measures of multivariate skewness and kurtosis. Thirdly, we obtain their analytical formulae for some well-known multivariate statistical models. Simple examples illustrate the interpretation of Koziol’s measures of multivariate kurtosis and detect a wrong statement about them which appeared in the statistical literature. We suggest that Mardia’s and Koziol’s measures of kurtosis should be used together to detect interesting data structures.

Keywords: Cantelli’s inequality; Moment inequality; Multivariate kurtosis; Multivariate skewness (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X19303604
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:175:y:2020:i:c:s0047259x19303604

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2019.104565

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().

 
Page updated 2021-04-20
Handle: RePEc:eee:jmvana:v:175:y:2020:i:c:s0047259x19303604