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Moments of elliptically distributed random variates

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  • Berkane, Maia
  • Bentler, P. M.
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    Abstract

    This paper presents an inductive method for computing the moments of an elliptically distributed random variate. A sequence of new parameters relating higher-order to second moments is introduced. The known kurtosis parameter is shown to be a member of this sequence.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-47N61J6-1K/2/0714c902568dc4fb592fd4b22b17261e
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 4 (1986)
    Issue (Month): 6 (October)
    Pages: 333-335

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    Handle: RePEc:eee:stapro:v:4:y:1986:i:6:p:333-335

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    Related research

    Keywords: elliptical distribution kurtosis moments;

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    Cited by:
    1. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation Of Shape Parameters In Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
    2. Cysneiros, Francisco Jose A. & Paula, Gilberto A., 2005. "Restricted methods in symmetrical linear regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(3), pages 689-708, June.
    3. Cordeiro, Gauss M. & Ferrari, Silvia L. P. & Uribe-Opazo, Miguel A. & Vasconcellos, Klaus L. P., 2000. "Corrected maximum-likelihood estimation in a class of symmetric nonlinear regression models," Statistics & Probability Letters, Elsevier, vol. 46(4), pages 317-328, February.
    4. Enrique Sentana & Gabriele Fiorentini, 2007. "On The Efficiency And Consistency Of Likelihood Estimation In Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
    5. Kan, Raymond, 2008. "From moments of sum to moments of product," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 542-554, March.

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