A class of invariant consistent tests for multivariate normality
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Let \(X_ 1,\dots,X_ n\) be independent, identically distributed random vectors in \(R^ d\), with sample mean \(\overline{X}_ n\) and sample covariance matrix \(S_ n\). The authors propose a class of affine invariant tests for the composite hypotheses \(H_ d\) : the law of \(X_ 1\) is a non-degenerate normal distribution, which are consistent against any fixed non-normal alternative distribution. The test statistic is a weighted integral of the squared modulus of the difference between the empirical characteristic function of the scaled residuals \(S_ n^{- 1/2}(X_ j-\overline{X}_ n)\) and its pointwise limit \(\exp(-2^{- 1}\| t\|^ 2)\) under \(H_ d\). The weight function is taken to be \((2\pi\beta^ 2)^{-d/2}\exp(-\| t\|^ 2/2\beta^ 2)\) for the varying parameter \(\beta\). The limiting null distribution of the test statistic is obtained. Power performance of the new tests is assessed in a Monte Carlo study. It is shown that the choice \(\beta=0.5\) yields a powerful test for multivariate normality against alternative distributions having heavy tails.
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