Multivariate Normality test for colored data
Methodology
2022-06-15 v1
Abstract
Performances of the Multivariate Kurtosis are investigated when applied to colored data, with or without Auto-Regressive pre-whitening, and with or without projection onto a lower-dimensional random subspace. Computer experiments demonstrate the importance of taking into account the possible color of the process in calculating the power of the normality test, in all the scenarios.
Cite
@article{arxiv.2206.06828,
title = {Multivariate Normality test for colored data},
author = {Sara Elbouch and Olivier Michel and Pierre Comon},
journal= {arXiv preprint arXiv:2206.06828},
year = {2022}
}