The distribution of the covariance matrix for a subset of elliptical distributions with extension to two kurtosis parameters

Journal of Multivariate Analysis

Volumn 58, Issue 1, 1996, Pages 96-106

  Steyn, H S ^a  

^a UNIVERSITY OF PRETORIA   (South Africa)

Author keywords

Covariance matrix; Elliptical distributions; Kurtosis parameter; Moment generating functions

Indexed keywords

EID: 0030187090     PISSN: 0047259X     EISSN: None     Source Type: Journal    
DOI: 10.1006/jmva.1996.0041     Document Type: Article

References (6)

1. [1] ANDERSON, T. W. (1958). An Introduction to Multivariate Statistical Analysis. Wiley, New York.
2. [2] KELKER, D. (1970). Distribution theory of spherical distributions and a location-scale parameter generalization. Sankhya A 32 419-440.
3. [3] MUIRHEAD, R. J. (1982). Aspects of Multivariate Statistical Theory. Wiley, New York.
4. [4] STEYN, H. S. (1993). On the problem of more than one kurtosis parameter in multivariate analysis. J. Multivariate Anal. 44 No. 1 1-22.
5. [5] STEYN, H. S. (1976). On the multivariate Poisson normal distribution. J. Amer. Statis. Assoc. 71, No. 353 232-236.
6. [6] SUTRADHAR, B. C., AND ALI, M. M. (1989). A generalization of the Wishart distribution for the elliptical model and its moments for the multivariate t model. J. Multivariate Anal. 29 155-162.