Covariance Structure Analysis Under a Simple Kurtosis Model,

Abstract

A model for the relation between multivariate Fourth-order central moments of a set of variables and the marginal kurtoses and covariances among these variables is used to produce an estimator for covariance structure analysis that is asymptotically efficient and yields an asymptotic X 2 goodness of fit test of the covariance structure while substantially reducing the computations. When the kurtoses of the variables are equal, the method reduces to one based on multivariate elliptical distribution theory, and, when there is no excess kurtosis, to one based on multivariate normal distribution theory.

Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1992
Accession Number
ADP007191

Entities

People

  • Maia Berkane
  • P. M. Bentler
  • Yutaka Kano

Organizations

  • University of California, Los Angeles

Tags

DTIC Thesaurus Topics

  • Computations
  • Computer Science
  • Covariance
  • Data Science
  • Distribution Theory
  • Goodness Of Fit Tests
  • Information Science
  • Network Science
  • Normal Distribution
  • Statistical Algorithms
  • Statistical Analysis
  • Statistics
  • Theoretical Computer Science

Fields of Study

  • Mathematics

Readers

  • Statistical inference.