Linear transformations to symmetry

We obtain random vectors with null third-order cumulants by projecting the data onto appropriate subspaces. Statistical applications include, but are not limited to, the robustification of Hotelling’s T2 test against nonnormality. Our approach only requires the existence of the third-order moments and leads to normal transformed variables when the parent distribution belongs to well-known classes of sample selection models.

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Year of publication:	2014
Authors:	Loperfido, Nicola
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 129.2014, C, p. 186-192
Publisher:	Elsevier
Subject:	Finite mixture \| Multivariate analysis of variance \| Nonrandom sampling \| Singular value decomposition \| Symmetrization

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

Persistent link: https://www.econbiz.de/10010786421