Moments of random vectors with skew t distribution and their quadratic forms Academic Article

abstract

• Moments of skew t random vectors and their quadratic forms are derived. It is shown that the moments of the sample autocovariance function and of the sample variogram estimator depend on a measure of multivariate kurtosis, but not on a skewness parameter. 2003 Elsevier Science B.V. All rights reserved.

authors

• Mallick, Bani

published proceedings

• STATISTICS & PROBABILITY LETTERS

author list (cited authors)

• Kim, H. M., & Mallick, B. K.

citation count

• 32

complete list of authors

• Kim, HM||Mallick, BK

publication date

• July 2003

publisher

• Elsevier  Publisher

published in

• Statistics and Probability Letters  Journal

keywords

• Kurtosis
• Multivariate Skew T Distribution
• Quadratic Form
• Skewness

Digital Object Identifier (DOI)

• 10.1016/S0167-7152(03)00121-4

start page

• 417

end page

• 423

volume

• 63

issue

• 4

URL

• http://dx.doi.org/10.1016/s0167-7152(03)00121-4