Multivariate kurtosis in L1-sense

Jean Averous and Michel Meste

Statistics & Probability Letters, 1994, vol. 19, issue 4, 281-284

Abstract: The quantile-based approach of univariate kurtosis is extended to multivariate distributions. This extension uses the family of median balls that generalize the interquantile intervals. A spread function is introduced, allowing orderings and measures of kurtosis relative to the spartial median to be defined.

Keywords: Kurtosis; tailweight; spatial; median; interquantile; intervals; spread; function; orderings (search for similar items in EconPapers)
Date: 1994
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