A new approach to the BHEP tests for multivariate normality

JOURNAL OF MULTIVARIATE ANALYSIS

卷:62

Article

Henze, N ; Wagner, T

关键词: test for multivariate normality;    empirical characteristic function;    Gaussian process;    contiguous alternatives;   

DOI  :  10.1006/jmva.1997.1684

来源: Elsevier

【 摘 要 】

Let X-1,..., X-n, be i.i.d. random d-vectors, d greater than or equal to 1, with sample mean X and sample covariance matrix S. For testing the hypothesis H-d that the law of X-1 is some non degenerate normal distribution, there is a whole class of practicable affine invariant and universally consistent tests. These procedures are based on weighted integrals of the squared modulus of the difference between the empirical characteristic function of the scaled residuals Y-j = S-(1/2)(X-j - X) and its almost sure pointwise limit exp(- \\t\\(2)/2) under H-d. The test statistics have an alternative interpretation in terms of L-2-distances between a nonparametric kernel density estimator and the parametric density estimator under H-d, applied to Y-1,..., Y-n. By working in the Frechet space of continuous functions on R-d, we obtain a new representation of the limiting null distributions of the test statistics and show that the tests have asymptotic power against sequences of contiguous alternatives converging to H-d at the rate n(-1/2), independent of d. (C) 1997 Academic Press.

【 授权许可】

Free