The null distribution of multivariate kurtosis
作者:
K.V. Mardia,
M. Kanazawa,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1983)
卷期:
Volume 12,
issue 5
页码: 569-576
ISSN:0361-0918
年代: 1983
DOI:10.1080/03610918308812343
出版商: Marcel Dekker, Inc.
关键词: Multivariate kurtosis;normal approximation;X2-approximation
数据来源: Taylor
摘要:
The paper introduces a x2-approximation to multivariate kurtosis b2,punder normality. It requires calculating the third moment of b2,pwhich is obtained. We compare the approximation with simulated percentage points and the normal approximation, and find it to be adequate for p=l and 2. For p=3, the simple average of this estimate and the normal approximation is found to be generally superior to either approximation on its own. For p=4, the normal approximation is best for non-extreme values of ∝
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