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Limit distributions for measures of multivariate skewness and kurtosis based on projections

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  • Baringhaus, L.
  • Henze, N.

Abstract

We derive the asymptotic distributions for measures of multivariate skewness and kurtosis defined by Malkovich and Afifi if the underlying distribution is elliptically symmetric. A key step in the derivation is an approximation by suitable Gaussian processes defined on the surface of the unit d-sphere. It is seen that a test for multivariate normality based on skewness in the sense of Malkovich and Afifi is inconsistent against each fixed elliptically symmetric non-normal distribution provided that a weak moment condition holds. Consistency of a test for multinormality based on kurtosis within the class of elliptically symmetric distributions depends on the fourth moment of the marginal distribution of the standardized underlying law. Our results may also be used to give tests for a special elliptically symmetric type against asymmetry or difference in kurtosis.

Suggested Citation

  • Baringhaus, L. & Henze, N., 1991. "Limit distributions for measures of multivariate skewness and kurtosis based on projections," Journal of Multivariate Analysis, Elsevier, vol. 38(1), pages 51-69, July.
    • Handle: RePEc:eee:jmvana:v:38:y:1991:i:1:p:51-69
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    Cited by:

    1. 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.
    2. Loperfido, Nicola, 2018. "Skewness-based projection pursuit: A computational approach," Computational Statistics & Data Analysis, Elsevier, vol. 120(C), pages 42-57.
    3. Norbert Henze & Jaco Visagie, 2020. "Testing for normality in any dimension based on a partial differential equation involving the moment generating function," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(5), pages 1109-1136, October.
    4. Naito, Kanta, 1998. "Approximation of the Power of Kurtosis Test for Multinormality," Journal of Multivariate Analysis, Elsevier, vol. 65(2), pages 166-180, May.
    5. Norbert Henze, 2002. "Invariant tests for multivariate normality: a critical review," Statistical Papers, Springer, vol. 43(4), pages 467-506, October.
    6. Ebner, Bruno, 2012. "Asymptotic theory for the test for multivariate normality by Cox and Small," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 368-379.
    7. 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.
    8. Neuhaus, Georg & Zhu, Li-Xing, 1998. "Permutation Tests for Reflected Symmetry," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 129-153, November.
    9. Zhu, Li-Xing & Neuhaus, Georg, 2003. "Conditional tests for elliptical symmetry," Journal of Multivariate Analysis, Elsevier, vol. 84(2), pages 284-298, February.
    10. 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.
    11. 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.
    12. Sreenivasa Rao Jammalamadaka & Emanuele Taufer & Gyorgy H. Terdik, 2021. "On Multivariate Skewness and Kurtosis," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 607-644, August.
    13. Zhao, Yi & Konishi, Sadanori, 1997. "Limit distributions of multivariate kurtosis and moments under Watson rotational symmetric distributions," Statistics & Probability Letters, Elsevier, vol. 32(3), pages 291-299, March.

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