A new test for multivariate normality

JOURNAL OF MULTIVARIATE ANALYSIS

卷:93

Article

Székely, GJ ; Rizzo, ML

关键词: goodness-of-fit;    strictly negative definite;    BHEP test;    Henze-Zirkler test;    multivariate skewness;    multivariate kurtosis;    projection pursuit;   

DOI  :  10.1016/j.jmva.2003.12.002

来源: Elsevier

【 摘 要 】

We propose a new class of rotation invariant and consistent goodness-of-fit tests for multivariate distributions based on Euclidean distance between sample elements. The proposed test applies to any multivariate distribution with finite second moments. In this article we apply the new method for testing multivariate normality when parameters are estimated. The resulting test is affine invariant and consistent against all fixed alternatives. A comparative Monte Carlo study suggests that our test is a powerful competitor to existing tests, and is very sensitive against heavy tailed alternatives. (C) 2003 Elsevier Inc. All rights reserved.

【 授权许可】

Free