Estimating p-values for Martha's coefficients of multivariate skewness and kurtosis

被引：17

作者：

Bonett, DG ^{[1
]}

Woodward, JA

Randall, RL

机构：

[1] Iowa State Univ Sci & Technol, Dept Stat, Ames, IA 50011 USA

[2] Univ Calif Los Angeles, Dept Psychol, Los Angeles, CA 90095 USA

[3] Univ Calif Los Angeles, Dept Stat, Los Angeles, CA 90095 USA

[4] Univ Hawaii, Dept Psychol, Honolulu, HI 96822 USA

来源：

COMPUTATIONAL STATISTICS | 2002年 / 17卷 / 01期

关键词：

kurtosis; Monte Carlo; multivariate normality; p-value; skewness;

D O I：

10.1007/s001800200094

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Mardia's coefficients of multivariate skewness and kurtosis can be used to assess the multivariate normality assumption that must be satisfied in many multivariate statistical procedures. However, the asymptotic tests of multivariate skewness and kurtosis do not perform well in small samples. A Monte Carlo method for accurately estimating the p-value is proposed and illustrated.

引用

页码：117 / 121

页数：5