An affine invariant multiple test procedure for assessing multivariate normality

Carlos Tenreiro

Computational Statistics & Data Analysis, 2011, vol. 55, issue 5, 1980-1992

Abstract: A multiple test procedure for assessing multivariate normality (MVN) is proposed. The new test combines a finite set of affine invariant test statistics for MVN through an improved Bonferroni method. The usefulness of such an approach is illustrated by a multiple test including the Mardia and BHEP (Baringhaus-Henze-Epps-Pulley) tests that are among the most recommended procedures for testing MVN. A simulation study carried out for a wide range of alternative distributions, in order to analyze the finite sample power behavior of the proposed multiple test procedure, indicates that the new test demonstrates a good overall performance against other highly recommended MVN tests.

Keywords: Multivariate; normality; tests; Affine; invariance; Multiple; testing; Mardia; tests; BHEP; tests (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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