Moments of random vectors with skew t distribution and their quadratic forms

Moments of skew t random vectors and their quadratic forms are derived. It is shown that the moments of the sample autocovariance function and of the sample variogram estimator depend on a measure of multivariate kurtosis, but not on a skewness parameter.

MoreLess

Year of publication:	2003
Authors:	Kim, Hyoung-Moon ; Mallick, Bani K.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 63.2003, 4, p. 417-423
Publisher:	Elsevier
Keywords:	Multivariate skew t distribution Quadratic form Skewness Kurtosis

More details

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

Persistent link: https://www.econbiz.de/10005313983