Limit distributions of multivariate kurtosis and moments under Watson rotational symmetric distributions

Yi Zhao and Sadanori Konishi

Statistics & Probability Letters, 1997, vol. 32, issue 3, 291-299

Abstract: The limit distribution of Mardia's measure of sample multivariate kurtosis is derived for a wide class of multivariate distributions which includes both the family of elliptical and Watson rotational symmetric distributions. Explicit expressions are given for the higher-order moments of Watson rotational symmetric distributions. The problem of constructing approximate confidence intervals for the kurtosis parameter is also discussed.

Keywords: Asymptotic; distribution; Multivariate; kurtosis; and; skewness; Scheiddgegger-Watson; distribution; Rotational; symmetric; distributions; Watson; rotational; symmetric; distributions (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (5)

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