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Limit laws for multivariate skewness in the sense of Móri, Rohatgi and Székely

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  • Henze, Norbert

Abstract

Let X be a d-dimensional random vector having zero expectation and unit covariance matrix. Móri et al. (1993) proposed and studied as a population measure of multivariate skewness. We derive the limit distribution of an affine invariant sample counterpart of . If the distribution of X is spherically symmetric, this limit law is [lambda][chi]d2, where [lambda] depends on EX4 and EX6. In case of spherical (elliptical) symmetry, we also obtain the asymptotic correlation between and Mardia's time-honoured measure of multivariate skewness. If , the limit distribution of is normal. Our results reveal the deficiencies of a test for multivariate normality based on .

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  • Henze, Norbert, 1997. "Limit laws for multivariate skewness in the sense of Móri, Rohatgi and Székely," Statistics & Probability Letters, Elsevier, vol. 33(3), pages 299-307, May.
    • Handle: RePEc:eee:stapro:v:33:y:1997:i:3:p:299-307
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    1. Bera, A. & John, S., 1983. "Tests for multivariate normality with Pearson alternatives," LIDAM Reprints CORE 534, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    1. Abdi, Me’raj & Madadi, Mohsen & Balakrishnan, Narayanaswamy & Jamalizadeh, Ahad, 2021. "Family of mean-mixtures of multivariate normal distributions: Properties, inference and assessment of multivariate skewness," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
    2. Sreenivasa Rao Jammalamadaka & Emanuele Taufer & György H. Terdik, 2021. "Asymptotic theory for statistics based on cumulant vectors with applications," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 708-728, June.
    3. Klar, Bernhard, 2002. "A Treatment of Multivariate Skewness, Kurtosis, and Related Statistics," Journal of Multivariate Analysis, Elsevier, vol. 83(1), pages 141-165, October.
    4. Nicola Loperfido & Tomer Shushi, 2023. "Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns," Journal of Optimization Theory and Applications, Springer, vol. 199(1), pages 143-166, October.
    5. Gutjahr, Steffen & Henze, Norbert & Folkers, Martin, 1999. "Shortcomings of Generalized Affine Invariant Skewness Measures," Journal of Multivariate Analysis, Elsevier, vol. 71(1), pages 1-23, October.
    6. Bruno Ebner & Norbert Henze, 2020. "Tests for multivariate normality—a critical review with emphasis on weighted $$L^2$$ L 2 -statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(4), pages 845-892, December.
    7. Philip Dörr & Bruno Ebner & Norbert Henze, 2021. "Testing multivariate normality by zeros of the harmonic oscillator in characteristic function spaces," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 456-501, June.
    8. Philip Dörr & Bruno Ebner & Norbert Henze, 2021. "A new test of multivariate normality by a double estimation in a characterizing PDE," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(3), pages 401-427, April.

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