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On the eigenvalues associated with the limit null distribution of the Epps-Pulley test of normality

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  • Bruno Ebner

    (Karlsruhe Institute of Technology (KIT))

  • Norbert Henze

    (Karlsruhe Institute of Technology (KIT))

Abstract

The Shapiro–Wilk test (SW) and the Anderson–Darling test (AD) turned out to be strong procedures for testing for normality. They are joined by a class of tests for normality proposed by Epps and Pulley that, in contrast to SW and AD, have been extended by Baringhaus and Henze to yield easy-to-use affine invariant and universally consistent tests for normality in any dimension. The limit null distribution of the Epps–Pulley test involves a sequences of eigenvalues of a certain integral operator induced by the covariance kernel of a Gaussian process. We solve the associated integral equation and present the corresponding eigenvalues.

Suggested Citation

  • Bruno Ebner & Norbert Henze, 2023. "On the eigenvalues associated with the limit null distribution of the Epps-Pulley test of normality," Statistical Papers, Springer, vol. 64(3), pages 739-752, June.
    • Handle: RePEc:spr:stpapr:v:64:y:2023:i:3:d:10.1007_s00362-022-01336-6
    DOI: 10.1007/s00362-022-01336-6
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    References listed on IDEAS

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    1. N. Henze, 1990. "An approximation to the limit distribution of the epps-pulley test statistic for normality," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 37(1), pages 7-18, December.
    2. Steffen Betsch & Bruno Ebner, 2020. "Testing normality via a distributional fixed point property in the Stein characterization," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(1), pages 105-138, March.
    3. Henze, Norbert & Wagner, Thorsten, 1997. "A New Approach to the BHEP Tests for Multivariate Normality," Journal of Multivariate Analysis, Elsevier, vol. 62(1), pages 1-23, July.
    4. L. Baringhaus & N. Henze, 1988. "A consistent test for multivariate normality based on the empirical characteristic function," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 35(1), pages 339-348, December.
    5. Norbert Henze & Jaco Visagie, 2020. "Testing for normality in any dimension based on a partial differential equation involving the moment generating function," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(5), pages 1109-1136, October.
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