Characterizing parameters of multivariate elliptical distributions* |
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| Authors: | Maia Berkane PM Bentler |
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| Institution: | Department of Psychology , University of California , Los Angeles, Los Angeles, 90024, CA |
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| Abstract: | This paper defines new parameters characterizing multivariate elliptical distributions. Mardia's coefficient of multivariate kurtosis is shown to be essentially one of these parameters. A simple relation is established between centered multivariate product moments and second moments of the variables. The general results are verified on the contaminated normal distribution as an example. |
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| Keywords: | elliptical distributions moments kurtosis |
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