MultiStatM
Multivariate Statistical Methods
Gyorgy Terdik, Emanuele Taufer
Last update: 31 January 2024
Copyright license: GNU General Public License, version 3.0
Software version identifier: 1.1.0, 1.2.0, 1.2.1
Algorithms to build set partitions and commutator matrices and their use in the construction of multivariate d-Hermite polynomials; estimation and derivation of theoretical vector moments and vector cumulants of multivariate distributions; conversion formulae for multivariate moments and cumulants. Applications to estimation and derivation of multivariate measures of skewness and kurtosis; estimation and derivation of asymptotic covariances for d-variate Hermite polynomials, multivariate moments and cumulants and measures of skewness and kurtosis. The formulae implemented are discussed in Terdik (2021, ISBN:9783030813925), "Multivariate Statistical Methods".
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