A Comparative Study of Goodness-of-Fit Tests for Multivariate Normality

J. L. Romeu and A. Ozturk

Journal of Multivariate Analysis, 1993, vol. 46, issue 2, 309-334

Abstract: A Monte Carlo power study of 10 multivariate normality goodness-of-fit tests is presented. First, multivariate goodness-of-fit methods and non-normal alternatives are classified according to their characteristics. Then, a measurement tool is defined, validated, and used to assess the performance of the methods, which are then ranked by type of alternative they best detect. Finally, Monte Carlo-derived empirical critical values for the 8 procedures, valid when samples are too small to invoke asymptotic theory, are provided.

Date: 1993
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