A characterization of multivariate normal distribution and its application

Zhen-Hai Yang, Kai-Tai Fang and Jia-Juan Liang

Statistics & Probability Letters, 1996, vol. 30, issue 4, 347-352

Abstract: Let X1, X2, ..., Xn be i.i.d. d-dimensional random vectors with a continuous density. Let and . In this paper we find that the distribution of Zk (or Yk) can be used for characterizing multivariate normal distribution. This characterization can be employed for testing multivariate normality in terms of the so-called transformation method.

Keywords: Characterization; of; multinormality; Multivariate; normal; distribution; spherical; distribution (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (1)

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