The distribution of the covariance matrix for a subset of elliptical distributions with extension to two kurtosis parameters (Q1817498)
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scientific article; zbMATH DE number 954549
| Language | Label | Description | Also known as |
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| English | The distribution of the covariance matrix for a subset of elliptical distributions with extension to two kurtosis parameters |
scientific article; zbMATH DE number 954549 |
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The distribution of the covariance matrix for a subset of elliptical distributions with extension to two kurtosis parameters (English)
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11 February 1997
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To study the influence of deviations from normality the class of elliptical distributions, which introduces a single kurtosis parameter \(\kappa\), is often considered in statistical theory to provide a wider model than the multivariate normal in multivariate analysis. In this paper an expression for the moment generating function of the distribution of the sampling covariance matrix for a subclass of elliptical distributions is first derived and is then generalized to include distributions containing two kurtosis parameters.
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elliptical distributions
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covariance matrix
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moment generating function
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kurtosis parameters
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