This paper proposes a general class of multivariate skew-elliptical distributions. We extend earlier results on the so-called multivariate skew-normal distribution. This family of distributions contains the multivariate normal, Student's t, exponential power, and Pearson type II, but with an...

A test of the independence of two sets of variables is developed to have high power against a special family of dependence. In this each set of variables has the structure of a single factor model and the dependence is solely via the correlation [gamma] between the underlying latent variables....

In principal components analysis, the influence function and local influence approaches have been well established as important diagnostic tools. In this article, we first review the generalized local influence approach in the restricted likelihood framework. We then apply the restricted...

The product limit estimator is arguably the most popular method of estimating survival probabilities in homogeneous samples. When the survival time and the censoring time are dependent, the product-limit estimator is an inconsistent estimator of the marginal survival function. Recently M. Zheng...

This paper presents nonparametric tests of independence that can be used to test the independence of p random variables, serial independence for time series, or residuals data. These tests are shown to generalize the classical portmanteau statistics. Applications to both time series and...

A definition of complex stable random variables is presented which includes earlier definitions as special cases. The class of complex stable random variables is characterized and is shown to be a subclass of the operator stable random variables. The exact conditions under which a sum of...

We represent random vectors Z that take values in n-{0} as Z=RY, where R is a positive random variable and Y takes values in an (n-1)-dimensional space . By fixing the distribution of either R or Y, while imposing independence between them, different classes of distributions on n can be...

It is shown how known algorithms for the comparison of all variables subsets in regression analysis can be adapted to subset comparisons in multivariate analysis, according to any index based on Wilks, Lawley-Hotelling, or Bartllet-Pillai statistics and, in some special cases, according to any...

D. Commenges and H. Jacqmin-Gadda (1997, J. Roy. Statist. Soc. B59, 157-171) considered generalized score tests of homogeneity that accommodate parametric and semiparametric regression models arising from multivariate random effects with common variance and known correlations. In this paper we...

In this paper, we propose a new componentwise estimator of a dispersion matrix, based on a highly robust estimator of scale. The key idea is the elimination of a location estimator in the dispersion estimation procedure. The robustness properties are studied by means of the influence function...