Improved probability inequalities for Mardia’s coefficient of kurtosis

Katarzyna Budny

Statistics & Probability Letters, 2022, vol. 191, issue C

Abstract: We provide a probability inequality which, for some classes of multivariate distributions, improves on probability inequalities related to Mardia’s coefficient of kurtosis. Furthermore, we extend our result to the case of a random vector with singular covariance matrix.

Keywords: Multivariate kurtosis; Mahalanobis distance; Concentration probability inequality; Singular covariance matrix (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109664

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