Assessing the effect of kurtosis deviations from Gaussianity on conditional distributions

作者：

Highlights：

• We study the impact of changes in kurtosis on marginal and conditional distributions.

• A relative sensitivity measure of the conditional distributions is proposed.

• For large dimensions the effect of non-normality depends only on the variables size.

摘要

•We study the impact of changes in kurtosis on marginal and conditional distributions.•A relative sensitivity measure of the conditional distributions is proposed.•For large dimensions the effect of non-normality depends only on the variables size.

论文关键词：Multivariate exponential power distributions,Kurtosis,Kullback–Leibler divergence,Relative sensitivity

论文评审过程：Available online 25 May 2013.

论文官网地址：https://doi.org/10.1016/j.amc.2013.04.031