Addressing non-normality in multivariate analysis using the t-distribution

The main aim of this paper is to propose a set of tools for assessing non-normality taking into consideration the class of multivariate t -distributions. Assuming second moment existence, we consider a reparameterized version of the usual t distribution, so that the scale matrix coincides with covar...

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Veröffentlicht in:	Advances in statistical analysis : AStA : a journal of the German Statistical Society 2023-12, Vol.107 (4), p.785-813
Hauptverfasser:	Osorio, Felipe, Galea, Manuel, Henríquez, Claudio, Arellano-Valle, Reinaldo
Format:	Artikel
Sprache:	eng
Schlagworte:	Covariance matrix Econometrics Economics Finance Insurance Management Mathematics and Statistics Multivariate analysis Original Paper Performance evaluation Probability Theory and Stochastic Processes Statistics Statistics for Business
Online-Zugang:	Volltext
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