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An affine invariant multiple test procedure for assessing multivariate normality

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  • Tenreiro, Carlos

Abstract

A 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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  • Tenreiro, Carlos, 2011. "An affine invariant multiple test procedure for assessing multivariate normality," Computational Statistics & Data Analysis, Elsevier, vol. 55(5), pages 1980-1992, May.
    • Handle: RePEc:eee:csdana:v:55:y:2011:i:5:p:1980-1992
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    5. Norbert Henze & María Dolores Jiménez-Gamero, 2019. "A new class of tests for multinormality with i.i.d. and garch data based on the empirical moment generating function," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 499-521, June.
    6. Meintanis, Simos G. & Ushakov, Nikolai G., 2016. "Nonparametric probability weighted empirical characteristic function and applications," Statistics & Probability Letters, Elsevier, vol. 108(C), pages 52-61.

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