Speaker: Jin Wang, Northern Arizona University

Abstract: Unlike location, spread and skewness, the meaning of kurtosis is a topic of considerable debate. Even with regard to the basic question of what kurtosis measures, there is no a universal agreement up to now. Thus various multivariate kurtosis measures have been proposed. While this fact provides practitioners many choices, it also increases the difficulty to choose an appropriate kurtosis measure for a practical problem. To support applications of multivariate kurtosis, I will give a comprehensive review of multivariate kurtosis measures and orderings. Their key properties will also be discussed.