VarianceKurt

Warning: the function requires 8! computations, for d&gt;3, the timing required maybe large.

Algorithms to build set partitions and commutator matrices and their use in the
construction of multivariate d-Hermite polynomials;  estimation and derivation of theoretical  vector moments and vector
cumulants  of multivariate distributions; conversion formulae for multivariate moments and cumulants. Applications to
estimation and derivation of multivariate measures of skewness and kurtosis;  estimation and derivation of asymptotic
covariances for d-variate Hermite polynomials, multivariate moments and cumulants and measures of skewness and kurtosis.
The formulae implemented are discussed in Terdik (2021, ISBN:9783030813925), "Multivariate Statistical Methods".

Emanuele Taufer

MultiStatM

Multivariate Statistical Methods

Gyorgy Terdik

VarianceKurt function

<dl><dt>cum</dt>
<dd>The theoretical/estimated cumulants up to the 8th order in vector form</dd></dl>

Arguments

Asymptotic Variance of the estimated  kurtosis vector — VarianceKurt

<dl>

<dt>cum</dt>
<dd>The theoretical/estimated cumulants up to the 8th order in vector form</dd>

</dl>

VarianceKurt: Asymptotic Variance of the estimated kurtosis vector

Description

Usage

Value

Arguments

References

See Also