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Testing for Spherical Symmetry of a Multivariate Distribution

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  • Koltchinskii, V. I.
  • Li, Lang

Abstract

We consider a test for spherical symmetry of a distribution in dwith an unknown center. It is a multivariate version of the tests suggested by Schuster and Barker and by Arcones and Giné. The test statistic is based on the multivariate extension of the distribution and quantile functions, recently introduced by Koltchinskii and Dudley and by Chaudhuri. We study the asymptotic behavior of the sequence of test statistics for large samples and for a fixed spherically asymmetric alternative as well as for a sequence of local alternatives converging to a spherically symmetric distribution. We also study numerically the performance of the test for moderate sample sizes and justify a symmetrized version of bootstrap approximation of the distribution of test statistics.

Suggested Citation

  • Koltchinskii, V. I. & Li, Lang, 1998. "Testing for Spherical Symmetry of a Multivariate Distribution," Journal of Multivariate Analysis, Elsevier, vol. 65(2), pages 228-244, May.
  • Handle: RePEc:eee:jmvana:v:65:y:1998:i:2:p:228-244
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    References listed on IDEAS

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    1. Heathcote, C. R. & Rachev, S. T. & Cheng, B., 1995. "Testing Multivariate Symmetry," Journal of Multivariate Analysis, Elsevier, vol. 54(1), pages 91-112, July.
    2. David Blough, 1989. "Multivariate symmetry via projection pursuit," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 41(3), pages 461-475, September.
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    1. Jiajuan Liang & Kai-Tai Fang & Fred Hickernell, 2008. "Some necessary uniform tests for spherical symmetry," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 60(3), pages 679-696, September.
    2. Albisetti, Isaia & Balabdaoui, Fadoua & Holzmann, Hajo, 2020. "Testing for spherical and elliptical symmetry," Journal of Multivariate Analysis, Elsevier, vol. 180(C).
    3. Sakhanenko, Lyudmila, 2008. "Testing for ellipsoidal symmetry: A comparison study," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 565-581, December.
    4. Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos, 2015. "Tests for sphericity in multivariate garch models," MPRA Paper 67411, University Library of Munich, Germany.
    5. Henze, N. & Klar, B. & Meintanis, S. G., 2003. "Invariant tests for symmetry about an unspecified point based on the empirical characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 87(2), pages 275-297, November.
    6. John Einmahl & Maria Gantner, 2012. "Testing for bivariate spherical symmetry," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(1), pages 54-73, March.
    7. Manzotti, A. & Pérez, Francisco J. & Quiroz, Adolfo J., 2002. "A Statistic for Testing the Null Hypothesis of Elliptical Symmetry," Journal of Multivariate Analysis, Elsevier, vol. 81(2), pages 274-285, May.
    8. Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.

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