A Statistic for Testing the Null Hypothesis of Elliptical Symmetry

A. Manzotti, Francisco J. Pérez and Adolfo J. Quiroz

Journal of Multivariate Analysis, 2002, vol. 81, issue 2, 274-285

Abstract: We present and study a procedure for testing the null hypothesis of multivariate elliptical symmetry. The procedure is based on the averages of some spherical harmonics over the projections of the scaled residual (1978, N. J. H. Small, Biometrika65, 657-658) of the d-dimensional data on the unit sphere of d. We find, under mild hypothesis, the limiting null distribution of the statistic presented, showing that, for an appropriate choice of the spherical harmonics included in the statistic, this distribution does not depend on the parameters that characterize the underlying elliptically symmetric law. We describe a bivariate simulation study that shows that the finite sample quantiles of our statistic converge fairly rapidly, with sample size, to the theoretical limiting quantiles and that our procedure enjoys good power against several alternatives.

Keywords: elliptically; contoured; distributions; spherical; harmonics; quadratic; forms; empirical; processes (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (11)

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