Frontiers in Probability and the Statistical Sciences: Going Beyond the Linear

Terdik, György

This book presents a general method for deriving higher-order statistics of multivariate distributions with simple algorithms that allow for actual calculations. Multivariate nonlinear statistical models require the study of higher-order moments and cumulants. The main tool used for the definitions is the tensor derivative, leading to several useful expressions concerning Hermite polynomials, moments, cumulants, skewness, and kurtosis. A general test of multivariate skewness and kurtosis is obtained from this treatment. Exercises are provided for each chapter to help the readers understand the methods. Lastly, the book includes a comprehensive list of references, equipping readers to explore further on their own.

Details

Published by: Springer

Publication Date: 2021-10-27

Format: Hardcover

ISBN-13: 9783030813918

DOI: 10.1007/978-3-030-81392-5

Dimensions: 235cm x155cm

Pages: 418