LBI tests for multivariate normality in exponential power distributions

Yoichi Kuwana and Takeaki Kariya

Journal of Multivariate Analysis, 1991, vol. 39, issue 1, 117-134

Abstract: In the class of multivariate exponential power distributions, we derive LBI (locally best invariant) tests for normality in the two cases: (i) mean vector [mu] is known and (ii) [mu] is unknown. In the case (i), the null and nonnull asymptotic distributions of the test statistic are derived. In the case (ii) the asymptotic properties of the LBI test remain open because of a technical difficulty. However, the null distribution of a modified test is derived. A Monte Carlo study on the percentage points of the tests is made.

Keywords: locally; best; invariant; test; test; for; normality; multivariate; exponential; power; distribution (search for similar items in EconPapers)
Date: 1991
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Citations: View citations in EconPapers (6)

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