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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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