MultivariateKurtosis

MultivariateKurtosis[matrix]
gives a multivariate kurtosis coefficient for matrix.

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  • To use , you first need to load the Multivariate Statistics Package using Needs["MultivariateStatistics`"].
  • is a univariate measure of kurtosis for multivariate data.
  • MultivariateKurtosis[matrix] is equivalent to where , Mean[matrix], and is the estimated population covariance matrix.
  • For a matrix with columns, a value of the multivariate kurtosis coefficient close to indicates approximate multinormality.
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