Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145635 | Journal of Multivariate Analysis | 2014 | 7 Pages |
Abstract
We obtain random vectors with null third-order cumulants by projecting the data onto appropriate subspaces. Statistical applications include, but are not limited to, the robustification of Hotelling’s T2T2 test against nonnormality. Our approach only requires the existence of the third-order moments and leads to normal transformed variables when the parent distribution belongs to well-known classes of sample selection models.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Nicola Loperfido,