UC Santa Barbara UC Santa Barbara Previously Published Works Title Asymptotic theory for statistics based on cumulant vectors with applications Permalink https://escholarship.org/uc/item/4c6093d0 Journal SCANDINAVIAN JOURNAL OF STATISTICS, 48(2) ISSN 0303-6898 Authors Rao Jammalamadaka, Sreenivasa Taufer, Emanuele Terdik, Gyorgy H Publication Date 2021-06-01 DOI 10.1111/sjos.12521 Peer reviewed eScholarship.org Powered by the California Digital Library University of California Received: 21 November 2019 Revised: 8 February 2021 Accepted: 20 February 2021 DOI: 10.1111/sjos.12521 ORIGINAL ARTICLE Asymptotic theory for statistics based on cumulant vectors with applications Sreenivasa Rao Jammalamadaka1 Emanuele Taufer2 György H. Terdik3 1Department of Statistics and Applied Probability, University of California, Abstract Santa Barbara, California For any given multivariate distribution, explicit formu- 2Department of Economics and lae for the asymptotic covariances of cumulant vectors Management, University of Trento, of the third and the fourth order are provided here. Gen- Trento, Italy 3Department of Information Technology, eral expressions for cumulants of elliptically symmetric University of Debrecen, Debrecen, multivariate distributions are also provided. Utilizing Hungary these formulae one can extend several results currently Correspondence available in the literature, as well as obtain practically Emanuele Taufer, Department of useful expressions in terms of population cumulants, Economics and Management, University and computational formulae in terms of commutator of Trento, Via Inama 5, 38122 Trento, Italy. Email:
[email protected] matrices. Results are provided for both symmetric and asymmetric distributions, when the required moments Funding information exist. New measures of skewness and kurtosis based European Union and European Social Fund, Grant/Award Number: on distinct elements are discussed, and other applica- EFOP3.6.2-16-2017-00015 tions to independent component analysis and testing are considered.