Testing multivariate normality by testing independence
Methodology
2023-12-27 v2 Machine Learning
Abstract
We propose a simple multivariate normality test based on Kac-Bernstein's characterization, which can be conducted by utilising existing statistical independence tests for sums and differences of data samples. We also perform its empirical investigation, which reveals that for high-dimensional data, the proposed approach may be more efficient than the alternative ones. The accompanying code repository is provided at \url{https://shorturl.at/rtuy5}.
Cite
@article{arxiv.2311.11575,
title = {Testing multivariate normality by testing independence},
author = {Povilas Daniušis},
journal= {arXiv preprint arXiv:2311.11575},
year = {2023}
}
Comments
6 pages, 1 figure