A Treatment of Multivariate Skewness, Kurtosis, and Related Statistics

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.

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Year of publication:	2002
Authors:	Klar, Bernhard
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 83.2002, 1, p. 141-165
Publisher:	Elsevier
Keywords:	multivariate skewness multivariate kurtosis Neyman's smooth test components multivariate normality elliptically symmetric distributions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005006477