A normality criterion for random vectors based on independence

M. J. Valderrama and A. M. Aguilera

Statistics & Probability Letters, 1997, vol. 33, issue 2, 159-165

Abstract: A sufficient condition for a random vector to be Gaussian is formulated by applying Skitovich's theorem to the principal component analysis of the random vector. An application to a standard Brownian motion simulated in discrete times, and a simulation study on non-normal data are also included.

Keywords: Principal; component; analysis; Brownian; motion; Gaussian; random; vector; Independence (search for similar items in EconPapers)
Date: 1997
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