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Sample mean, covariance and T2 statistic of the skew elliptical model

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  • Fang, B.Q.

Abstract

In this paper basic statistics for a skew elliptical model are studied. Distributions of the sample mean and covariance are obtained. An unbiased estimate of the scale matrix and an asymptotically unbiased consistent estimate of the location vector are obtained. The null distribution of the Hotelling's T2 statistic for testing hypothesis about the location is the same as that under normality under a restriction on the skewness parameters and the power function is showed to have some desired property in a wide subset of the skew elliptical distributions.

Suggested Citation

  • Fang, B.Q., 2006. "Sample mean, covariance and T2 statistic of the skew elliptical model," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1675-1690, August.
    • Handle: RePEc:eee:jmvana:v:97:y:2006:i:7:p:1675-1690
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    References listed on IDEAS

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    1. Genton, Marc G. & He, Li & Liu, Xiangwei, 2001. "Moments of skew-normal random vectors and their quadratic forms," Statistics & Probability Letters, Elsevier, vol. 51(4), pages 319-325, February.
    2. Kim, Hyoung-Moon & Mallick, Bani K., 2003. "Moments of random vectors with skew t distribution and their quadratic forms," Statistics & Probability Letters, Elsevier, vol. 63(4), pages 417-423, July.
    3. A. Azzalini & A. Capitanio, 1999. "Statistical applications of the multivariate skew normal distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(3), pages 579-602.
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    5. Fang, B. Q., 2003. "The skew elliptical distributions and their quadratic forms," Journal of Multivariate Analysis, Elsevier, vol. 87(2), pages 298-314, November.
    6. Sutradhar, Brajendra C. & Ali, Mir M., 1989. "A generalization of the Wishart distribution for the elliptical model and its moments for the multivariate t model," Journal of Multivariate Analysis, Elsevier, vol. 29(1), pages 155-162, April.
    7. Aigner, Dennis & Lovell, C. A. Knox & Schmidt, Peter, 1977. "Formulation and estimation of stochastic frontier production function models," Journal of Econometrics, Elsevier, vol. 6(1), pages 21-37, July.
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