Multivariate normality test based on kurtosis with two-step monotone missing data

Eri Kurita and Takashi Seo

Journal of Multivariate Analysis, 2022, vol. 188, issue C

Abstract: This paper deals with a sample measure of multivariate kurtosis, which is used as a test statistic in multivariate normality testing problems. We define a new multivariate sample kurtosis measure to provide a multivariate normality test for data with a two-step monotone missing structure. Furthermore, we derive its expectation and variance using a perturbation method. To evaluate the accuracy of a normal approximation, we conducted a Monte Carlo simulation for certain parameters. Finally, we present a numerical example to illustrate the proposed procedure.

Keywords: Asymptotic expansion; Moment; Monte Carlo simulation; Multivariate kurtosis; Normal approximation (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.jmva.2021.104824

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