RT Journal Article
T1 Assessing the effect of kurtosis deviations from Gaussianity on conditional distributions
A1 Gómez Villegas, Miguel Ángel
A1 Main Yaque, Paloma
A1 Navarro, H.
A1 Susi García, María Del Rosario
AB The multivariate exponential power family is considered for n-dimensional random variables, Z, with a known partition Z equivalent to (Y, X) of dimensions p and n - p, respectively, with interest focusing on the conditional distribution Y vertical bar X. An infinitesimal variation of any parameter of the joint distribution produces perturbations in both the conditional and marginal distributions. The aim of the study was to determine the local effect of kurtosis deviations using the Kullback-Leibler divergence measure between probability distributions. The additive decomposition of this measure in terms of the conditional and marginal distributions, Y vertical bar X and X, is used to define a relative sensitivity measure of the conditional distribution family {Y vertical bar X = x}. Finally, simulated results suggest that for large dimensions, the measure is approximately equal to the ratio p/n, and then the effect of non-normality with respect to kurtosis depends only on the relative size of the variables considered in the partition of the random vector.
PB Elsevier
SN 0096-3003
YR 2013
FD 2013-07-01
LK https://hdl.handle.net/20.500.14352/33338
UL https://hdl.handle.net/20.500.14352/33338
LA eng
NO Gómez Villegas, M. A., Main Yaque, P., Navarro, H. & Sus García, M. R. «Assessing the Effect of Kurtosis Deviations from Gaussianity on Conditional Distributions». Applied Mathematics and Computation, vol. 219, n.o 21, julio de 2013, pp. 10499-505. DOI.org (Crossref), https://doi.org/10.1016/j.amc.2013.04.031.
NO Ministerio de Ciencia, Innovación y Universidades (España)
NO Metodos Bayesianos by BSCH-UCM, Spain
DS Docta Complutense
RD 23 ago 2024