椭圆理论峰度参数的最大下界

Greatest Lower Bound to the Elliptical Theory Kurtosis Parameter

Biometrika · 1986
被引 5
ABS 4

中文导读

证明了连续p维椭圆分布(协方差矩阵为正定实矩阵)的峰度参数K必须严格大于-2/(p+2),为统计建模提供了理论下界。

Abstract

It is shown that the kurtosis parameter K for a continuous p-variate elliptical distribution with real positive-definite covariance matrix Ω must be strictly greater than −2/(p+2).

数学统计学计量经济学