Tests for multivariate normality based on canonical correlations
Methodology
2015-03-11 v2 Statistics Theory
Statistics Theory
Abstract
We propose new affine invariant tests for multivariate normality, based on independence characterizations of the sample moments of the normal distribution. The test statistics are obtained using canonical correlations between sets of sample moments, generalizing the Lin-Mudholkar test for normality. The tests are compared to some popular tests based on Mardia's skewness and kurtosis measures in an extensive simulation power study and are found to offer higher power against many of the alternatives.
Cite
@article{arxiv.1108.2986,
title = {Tests for multivariate normality based on canonical correlations},
author = {Måns Thulin},
journal= {arXiv preprint arXiv:1108.2986},
year = {2015}
}
Comments
21 pages, 5 tables