A new test for multivariate normality
We propose a new class of rotation invariant and consistent goodness-of-fit tests for multivariate distributions based on Euclidean distance between sample elements. The proposed test applies to any multivariate distribution with finite second moments. In this article we apply the new method for testing multivariate normality when parameters are estimated. The resulting test is affine invariant and consistent against all fixed alternatives. A comparative Monte Carlo study suggests that our test is a powerful competitor to existing tests, and is very sensitive against heavy tailed alternatives.
Volume (Year): 93 (2005)
Issue (Month): 1 (March)
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- L. Baringhaus & N. Henze, 1988. "A consistent test for multivariate normality based on the empirical characteristic function," Metrika, Springer, vol. 35(1), pages 339-348, December.
- Thas, O. & Ottoy, J. P., 2003. "Some generalizations of the Anderson-Darling statistic," Statistics & Probability Letters, Elsevier, vol. 64(3), pages 255-261, September.
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- 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.
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