In this paper, we are interested in an estimation problem concerning the mean parameter of a random matrix whose distribution is elliptically contoured. We derive two general formulas for the bias and risk functions of a class of multidimensional shrinkage-type estimators. As a by product, we...

This paper is concerned with the role some parameters indexing four important families within the multivariate elliptically contoured distributions play as indicators of multivariate kurtosis. The problem is addressed for the exponential power family, for a subclass of the Kotz family and for...

We introduce a class of multivariate dispersion models suitable as error distributions for generalized linear models with multivariate non-normal responses. The models preserve some of the main properties of the multivariate normal distribution, and include the elliptically contoured...

This note considers how hypotheses of invariance and super exogeneity may be formulated and tested in elliptical linear regression models. It is demonstrated that for jointly elliptical random variables super exogeneity will only hold under normality.