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A family of kurtosis orderings for multivariate distributions

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  • Wang, Jin

Abstract

In this paper, a family of kurtosis orderings for multivariate distributions is proposed and studied. Each ordering characterizes in an affine invariant sense the movement of probability mass from the "shoulders" of a distribution to either the center or the tails or both. All even moments of the Mahalanobis distance of a random vector from its mean (if exists) preserve a subfamily of the orderings. For elliptically symmetric distributions, each ordering determines the distributions up to affine equivalence. As applications, the orderings are used to study elliptically symmetric distributions. Ordering results are established for three important families of elliptically symmetric distributions: Kotz type distributions, Pearson Type VII distributions, and Pearson Type II distributions.

Suggested Citation

  • Wang, Jin, 2009. "A family of kurtosis orderings for multivariate distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 509-517, March.
    • Handle: RePEc:eee:jmvana:v:100:y:2009:i:3:p:509-517
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    References listed on IDEAS

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    1. Averous, Jean & Meste, Michel, 1994. "Multivariate kurtosis in L1-sense," Statistics & Probability Letters, Elsevier, vol. 19(4), pages 281-284, March.
    2. Oja, Hannu, 1983. "Descriptive statistics for multivariate distributions," Statistics & Probability Letters, Elsevier, vol. 1(6), pages 327-332, October.
    3. Srivastava, M. S., 1984. "A measure of skewness and kurtosis and a graphical method for assessing multivariate normality," Statistics & Probability Letters, Elsevier, vol. 2(5), pages 263-267, October.
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    Cited by:

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    3. Arevalillo, Jorge M. & Navarro, Hilario, 2012. "A study of the effect of kurtosis on discriminant analysis under elliptical populations," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 53-63.
    4. Arevalillo, Jorge M. & Navarro, Hilario, 2015. "A note on the direction maximizing skewness in multivariate skew-t vectors," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 328-332.
    5. Jorge M. Arevalillo & Hilario Navarro, 2019. "A stochastic ordering based on the canonical transformation of skew-normal vectors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 475-498, June.
    6. Jorge M. Arevalillo & Hilario Navarro, 2021. "Skewness-Kurtosis Model-Based Projection Pursuit with Application to Summarizing Gene Expression Data," Mathematics, MDPI, vol. 9(9), pages 1-18, April.
    7. Wang, Jin & Zhou, Weihua, 2012. "A generalized multivariate kurtosis ordering and its applications," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 169-180.
    8. Jin Wang & Weihua Zhou, 2015. "Effect of kurtosis on efficiency of some multivariate medians," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 27(3), pages 331-348, September.

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