JSM 2004 Online Program

Abstract #300810

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Activity Number:	151
Type:	Topic Contributed
Date/Time:	Monday, August 9, 2004 : 2:00 PM to 3:50 PM
Sponsor:	Section on Bayesian Statistical Science
Abstract - #300810
Title:	Estimation and Testing of Parameters in Multivariate Laplace Distributions
Author(s):	Muni S. Srivastava*+ and Tonu Kollo
Companies:	University of Toronto and University of Tartu
Address:	Dept. of Statistics, Toronto, ON, M5S 3G3, Canada
Keywords:	kurtosis ; multivariate cumulants ; skew distributions ; skewness
Abstract:	Characteristics of Laplace distributions such as mean, covariance, third and fourth cumulants, and moments are given. Real valued skewness and kurtosis is defined in terms of multivariate cumulants and shown to be equal to Mardia's measures. An inequality between skewness and kurtosis is given which reduces to the univariate case when p=1. A test for skewness to be zero is given along with its asymptotic distributions.

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