Simple derivation of Muirhead kurtosis for a multivariate t distribution
- Hyoung moon Kim Jong kyun Shin
- 건국대학교 경제경영연구소
- 제29권 제2호
- 31 - 39 (9 pages)
Muirhead’s kurtosis is not well known because it is hard to calculate the first and the second derivatives of the characteristic functions of corresponding distributions. Besides, evaluation of the characteristic functions itself is not easy to do. Especially we devise two easy ways based on stochastic representation of elliptical distributions to calculate Muirhead’s kurtosis for elliptical distributions and applied to a multivariate t distribution which is a subclass of elliptical distributions.
II. Elliptical distributions
III. Two simple derivations of Muirhead kurtosis