The limit distribution of Mardia's measure of sample multivariate kurtosis is derived for a wide class of multivariate distributions which includes both the family of elliptical and Watson rotational symmetric distributions. Explicit expressions are given for the higher-order moments of Watson...

The covariance matrix of a generalized quadratic form is obtained under the assumption of an elliptical distribution. As special cases of the result, the variances and covariances of a sample covariance matrix for an elliptical population are given. A covariance matrix is derived for an...