A test for multivariate skew-normality based on its canonical form

N. Balakrishnan, A. Capitanio and B. Scarpa

Journal of Multivariate Analysis, 2014, vol. 128, issue C, 19-32

Abstract: A test to assess if a sample comes from a multivariate skew-normal distribution is proposed. The test statistic is obtained from the canonical form of the multivariate skew-normal distribution and its null distribution is derived. The power of the proposed test is evaluated through Monte Carlo simulations for different conveniently chosen alternatives. Finally, three numerical examples are presented for the purpose of illustration.

Keywords: Multivariate skewness; Skew-normal distribution; Canonical form; Order statistics (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:128:y:2014:i:c:p:19-32

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DOI: 10.1016/j.jmva.2014.02.015

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