Characterizing parameters of multivariate elliptical distributions<sup>*</sup>
Communications in Statistics - Simulation and ComputationPublished 1 January 1987
Maia Berkane, Peter M. Bentler
Citations13
SJR quartileQ2
SJR score0.43
SNIP1.00
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Abstract
This paper defines new parameters characterizing multivariate elliptical distributions. Mardia's coefficient of multivariate kurtosis is shown to be essentially one of these parameters. A simple relation is established between centered multivariate product moments and second moments of the variables. The general results are verified on the contaminated normal distribution as an example.
Keywords
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