An affine invariant multiple test procedure for assessing multivariate normality
AbstractA multiple test procedure for assessing multivariate normality (MVN) is proposed. The new test combines a finite set of affine invariant test statistics for MVN through an improved Bonferroni method. The usefulness of such an approach is illustrated by a multiple test including the Mardia and BHEP (Baringhaus-Henze-Epps-Pulley) tests that are among the most recommended procedures for testing MVN. A simulation study carried out for a wide range of alternative distributions, in order to analyze the finite sample power behavior of the proposed multiple test procedure, indicates that the new test demonstrates a good overall performance against other highly recommended MVN tests.
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 55 (2011)
Issue (Month): 5 (May)
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Web page: http://www.elsevier.com/locate/csda
Multivariate normality tests Affine invariance Multiple testing Mardia tests BHEP tests;
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