Cumulants of Multivariate Symmetric and Skew Symmetric Distributions

Abstract

This paper provides a systematic and comprehensive treatment for obtaining general expressions of any order, for the moments and cumulants of spherically and elliptically symmetric multivariate distributions; results for the case of multivariate t-distribution and related skew-t distribution are discussed in some detail.

Keywords

• multivariate cumulants
• spherically symmetric distributions
• elliptically symmetric distributions
• multivariate skew-symmetric distributions