A Treatment of Multivariate Skewness, Kurtosis, and Related Statistics

Bernhard Klar

Journal of Multivariate Analysis, 2002, vol. 83, issue 1, 141-165

Abstract: This paper gives a unified treatment of the limit laws of different measures of multivariate skewness and kurtosis which are related to components of Neyman's smooth test of fit for multivariate normality. The results are also applied to other multivariate statistics which are built up in a similar way as the smooth components. Special emphasis is given to the case that the underlying distribution is elliptically symmetric.

Keywords: multivariate; skewness; multivariate; kurtosis; Neyman's; smooth; test; components; multivariate; normality; elliptically; symmetric; distributions (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (12)

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