Measures of multivariate skewness and kurtosis with applications
1970/01/01 by Kanti V. Mardia, K. V. MARDIA · 4,432 citations
Mathematics · #Advanced Statistical Methods and Models #Demography #Econometrics #Kurtosis #Mathematics #Multivariate analysis #Multivariate normal distribution #Multivariate statistics #Normality #Normality test #Population #Skewness #Statistic #Statistical Distribution Estimation and Applications #Statistical Methods and Bayesian Inference #Statistical hypothesis testing #Statistics
paper · doi:10.1093/biomet/57.3.519
published in Biometrika 57(3), 519-530 (Oxford University Press)
openalex publication_date 1970/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/02
Abstract
Measures of multivariate skewness and kurtosis are developed by extending certain studies on robustness of the t statistic. These measures are shown to possess desirable properties. The asymptotic distributions of the measures for samples from a multivariate normal population are derived and a test of multivariate normality is proposed. The effect of nonnormality on the size of the one-sample Hotelling's T2 test is studied empirically with the help of these measures, and it is found that Hotelling's T2 test is more sensitive to the measure of skewness than to the measure of kurtosis.
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