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MultivariateKurtosis

MultivariateKurtosis[matrix]
gives a multivariate kurtosis coefficient for matrix.
  • MultivariateKurtosis is a univariate measure of kurtosis for multivariate data.
  • MultivariateKurtosis[matrix] is equivalent to where matrix={x1, x2, ..., xn}, and CapitalSigma is the estimated population covariance matrix.
  • For a matrix with p columns, a value of the multivariate kurtosis coefficient close to p(p+2) indicates approximate multinormality.
Needs["MultivariateStatistics`"]
Multivariate kurtosis for bivariate data:
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