Indices of Skewness and Kurtosis - Indices of Multivariate Kurtosis
- Mardia's multivariate kurtosis
- This index is defined as
(179)
where xi is the ith vector of observations, is a vector of sample means, p is the number of observed variables, and S is the sample covariance matrix.
- Relative multivariate kurtosis
- This index is defined as
(180)
- Normalized multivariate kurtosis
- This index is defined as
(181)
- Mardia-based kappa
- This index is defined as
(182)
- Mean scaled univariate kurtosis
- This index is defined as
(183)
- Adjusted mean scaled univariate kurtosis
- This index is defined as
(184)
with
(185)
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