kurtosis: Mardia's multivariate kurtosis coefficient

In MVT: Estimation and Testing for the Multivariate t-Distribution

Mardia's multivariate kurtosis coefficient

Description

This function computes the kurtosis of a multivariate distribution and estimates the kurtosis parameter for the t-distribution using the method of moments.

Usage

kurtosis.student(x)

Arguments

x	vector or matrix of data with, say, p columns.

Value

A list with the following components :

kurtosis	returns the value of Mardia's multivariate kurtosis.
kappa	returns the excess kurtosis related to a multivariate t-distribution.
eta	estimated shape (kurtosis) parameter using the methods of moments, only valid if 0 ≤ η < 1/4.

References

Mardia, K.V. (1970). Measures of multivariate skewness and kurtosis with applications. Biometrika 57, 519-530.

Osorio, F., Galea, M., Henriquez, C., Arellano-Valle, R. (2023). Addressing non-normality in multivariate analysis using the t-distribution. AStA Advances in Statistical Analysis. doi: 10.1007/s10182-022-00468-2

Examples

data(companies)
kurtosis.student(companies)

MVT documentation built on Feb. 16, 2023, 8:29 p.m.