Accession Number:

ADP007192

Title:

A Method for Controlling Multivariate Kurtosis in the Simulation of Elliptically-Contoured Distributions,

Descriptive Note:

Corporate Author:

BALL STATE UNIV MUNCIE IN

Personal Author(s):

• Horswell, Ronald
• Looney, Stephen

Report Date:

1992-01-01

Pagination or Media Count:

4.0

Abstract:

In Monte Carlo simulation of multivariate distributions, it is often helpful to use a general class of distributions which share certain defining characteristics but which allow controlled variation of other characteristics. We show how multivariate kurtosis, as measured by Mardias coefficient, Beta 2,p, can be controlled across the class of elliptically-contoured distributions. This allows convenient assessment of the effects of kurtosis on test power, robustness, or whatever the Monte Carlo subject of interest. We illustrate the methods utility by showing that common tests for skewness are also very sensitive to kurtosis even in nonskewed distributions.

Descriptors:

• *STATISTICS
• COEFFICIENTS
• POWER
• SIMULATION
• SKEWNESS
• TEST AND EVALUATION
• VARIATIONS

Subject Categories:

• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE