A new kurtosis matrix, with statistical applications

DOI10.1016/j.laa.2016.09.033zbMath1403.62129OpenAlexW2521054267MaRDI QIDQ332626

Nicola M. R. Loperfido

Publication date: 8 November 2016

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2016.09.033

zbMATH Keywords

independent component analysiskurtosisprojection pursuitGARCH processmultivariate kurtosisreversible processweighted distribution

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Eigenvalues, singular values, and eigenvectors (15A18)

Related Items

Kurtosis test of modality for rotationally symmetric distributions on hyperspheres ⋮ The relationship between shape parameters and kurtosis in some relevant models ⋮ Kurtosis removal for data pre-processing ⋮ A proposal of new disnormality indexes ⋮ Numerical range for weighted Moore-Penrose inverse of tensor ⋮ Some theoretical properties of two kurtosis matrices, with application to invariant coordinate selection ⋮ Kurtosis Maximization for Outlier Detection in GARCH Models

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