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Approximation of the Power of Kurtosis Test for Multinormality

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  • Naito, Kanta
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    Abstract

    In this paper we investigate performances of the test of multinormality introduced by Malkovich and Afifi. An approximation formula of the power of the test against elliptically symmetric distributions is derived. Examples which illustrate the present results are also discussed.

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    File URL: http://www.sciencedirect.com/science/article/B6WK9-45J4Y0R-N/2/e0c773ced1b208a3d60fa061269e38d6
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 65 (1998)
    Issue (Month): 2 (May)
    Pages: 166-180

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    Handle: RePEc:eee:jmvana:v:65:y:1998:i:2:p:166-180

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    Related research

    Keywords: elliptically symmetric distribution; Gaussian random field; multivariate kurtosis; power; tail probability; test for multinormality;

    References

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    1. Romeu, J. L. & Ozturk, A., 1993. "A Comparative Study of Goodness-of-Fit Tests for Multivariate Normality," Journal of Multivariate Analysis, Elsevier, vol. 46(2), pages 309-334, August.
    2. Baringhaus, L. & Henze, N., 1991. "Limit distributions for measures of multivariate skewness and kurtosis based on projections," Journal of Multivariate Analysis, Elsevier, vol. 38(1), pages 51-69, July.
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    Cited by:
    1. Norbert Henze, 2002. "Invariant tests for multivariate normality: a critical review," Statistical Papers, Springer, vol. 43(4), pages 467-506, October.

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