Characterizing parameters of multivariate elliptical distributions*
- 1 January 1987
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Simulation and Computation
- Vol. 16 (1) , 193-198
- https://doi.org/10.1080/03610918708812584
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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