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Asymptotic theory for the test for multivariate normality by Cox and Small

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  • Ebner, Bruno

Abstract

We derive the limit distribution of the statistic of Cox and Small (1978) [5] for testing multivariate normality when the underlying distribution is elliptically-symmetric. Moreover, we consider fixed and contiguous alternatives to normality. Empirical critical values as well as a Monte Carlo simulation for comparison to classical procedures are provided. We further show how some results can also be used for asymptotic results of the test for normality of Malkovich and Afifi.

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  • Ebner, Bruno, 2012. "Asymptotic theory for the test for multivariate normality by Cox and Small," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 368-379.
    • Handle: RePEc:eee:jmvana:v:111:y:2012:i:c:p:368-379
    DOI: 10.1016/j.jmva.2012.04.012
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    References listed on IDEAS

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    1. 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.
    2. Annaliisa Kankainen & Sara Taskinen & Hannu Oja, 2007. "Tests of multinormality based on location vectors and scatter matrices," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 16(3), pages 357-379, November.
    3. Tenreiro, Carlos, 2009. "On the choice of the smoothing parameter for the BHEP goodness-of-fit test," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 1038-1053, February.
    4. Jurgen A. Doornik & Henrik Hansen, 2008. "An Omnibus Test for Univariate and Multivariate Normality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
    5. Norbert Henze, 2002. "Invariant tests for multivariate normality: a critical review," Statistical Papers, Springer, vol. 43(4), pages 467-506, October.
    6. Szekely, Gábor J. & Rizzo, Maria L., 2005. "A new test for multivariate normality," Journal of Multivariate Analysis, Elsevier, vol. 93(1), pages 58-80, March.
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    Cited by:

    1. Philip Dörr & Bruno Ebner & Norbert Henze, 2021. "Testing multivariate normality by zeros of the harmonic oscillator in characteristic function spaces," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 456-501, June.
    2. Ducharme, Gilles R. & Lafaye de Micheaux, Pierre, 2020. "A goodness-of-fit test for elliptical distributions with diagnostic capabilities," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
    3. Bruno Ebner & Norbert Henze, 2020. "Tests for multivariate normality—a critical review with emphasis on weighted $$L^2$$ L 2 -statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(4), pages 845-892, December.
    4. Bruno Ebner & Norbert Henze, 2020. "Rejoinder on: Tests for multivariate normality—a critical review with emphasis on weighted $$L^2$$ L 2 -statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(4), pages 911-913, December.
    5. Norbert Henze & María Dolores Jiménez‐Gamero, 2021. "A test for Gaussianity in Hilbert spaces via the empirical characteristic functional," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 406-428, June.

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