Estimating p-values for Mardia’s coefficients of multivariate skewness and kurtosis

Douglas G. Bonett, J. Arthur Woodward and Robert L. Randall
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Douglas G. Bonett: Iowa State University
J. Arthur Woodward: UCLA
Robert L. Randall: University of Hawaii

Computational Statistics, 2002, vol. 17, issue 1, No 9, 117-122

Abstract: Summary Mardia’s coefficients of multivariate skewness and kurtosis can be used to assess the multivariate normality assumption that must be satisfied in many multivariate statistical procedures. However, the asymptotic tests of multivariate skewness and kurtosis do not perform well in small samples. A Monte Carlo method for accurately estimating the p-value is proposed and illustrated.

Keywords: Kurtosis; Monte Carlo; Multivariate normality; p-value; Skewness (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s001800200094

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