Assessment of Multinormality and the Robustness of Hotelling's T2. Test

K. V. Mardia

Journal of the Royal Statistical Society Series C, 1975, vol. 24, issue 2, 163-171

Abstract: Various techniques of assessing multinormality have appeared within the last few years. Significant developments in this area have included techniques based on the Mahalanobis “angles” and distances. A test of multinormality based on some measures of multivariate skewness and kurtosis has also been proposed by Mardia (1970a). We show the interconnections between these measures by expressing them in terms of the Mahalanobis “angles” and distances. Some additional critical values of the test are also computed. We show how these measures provide a means of interpreting various Monte Carlo studies for the effect of nonnormality on Hotelling's T2. The above material is used in examining certain outstanding problems in a numerical example.

Date: 1975
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