The Kotz-type distribution with applications

The Kotz-type distribution was introduced by Kotz (1975) as a generalization of the multivariate normal distribution. Since 1990 there has been a surge of activity relating to this distribution. We have identified some 25 papers on the Kotz-type distribution over the period from 1990 to 2002 - compared to just 5 over the period from 1980 to 1989. The aim of this paper is to review the developments in the following areas: marginal distributions; moments; characteristic functions; characterizations; asymptotics; quadratic forms; estimation; hypothesis testing; generalizations; Bayesian inference; and, applications in other areas such as ecology, discriminant analysis, mathematical finance, repeated measurements, shape theory and signal processing. We feel that this review could be important as a source of reference and for unlocking further research on the distribution.

Keywords:

• Elliptically Contoured
• Kotz Type
• Multivariate Normal