Testing multivariate scatter parameter in elliptical model based on forward search method

Chitradipa Chakraborty

Statistics & Probability Letters, 2019, vol. 147, issue C, 66-72

Abstract: In this article, we establish a test for multivariate scatter parameter in elliptical model, where the location parameter is known, and the scatter parameter is estimated by the multivariate forward search method. The consistency property of the test, along with its performances for various simulated data in comparison with a classical one, is also studied here.

Keywords: Commutation matrix; Consistency of the test; Kurtosis parameter; Mixture distribution; Vec of a matrix (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2018.11.028

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