Shortcomings of Generalized Affine Invariant Skewness Measures

This paper studies the asymptotic behavior of a generalization of Mardia's affine invariant measure of (sample) multivariate skewness. If the underlying distribution is elliptically symmetric, the limiting distribution is a finite sum of weighted independent ξ 2-variates, and the weights are de...

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Veröffentlicht in:	Journal of multivariate analysis 1999, Vol.71 (1), p.1-23
Hauptverfasser:	Gutjahr, Steffen, Henze, Norbert, Folkers, Martin
Format:	Artikel
Sprache:	eng
Schlagworte:	60F05 62H10 62H15 affine invariance elliptically symmetric distribution Exact sciences and technology Mathematics Multivariate analysis multivariate skewness multivariate skewness test for multivariate normality affine invariance elliptically symmetric distribution Parametric inference Probability and statistics Sciences and techniques of general use Statistics test for multivariate normality
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