Invariant tests for multivariate normality: A critical review

DOI10.1007/S00362-002-0119-6zbMATH Open1008.62060OpenAlexW2078438223WikidataQ56084025 ScholiaQ56084025MaRDI QIDQ1856569FDOQ1856569

Authors: Norbert Henze 

Publication date: 10 February 2003

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-002-0119-6

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zbMATH Keywords

consistencyaffine invariancemultivariate kurtosisempirical characteristic functionslocally best invariant testsangels and radiiprojection pursuiteRoy's union intersection principle

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of parametric tests (62F05) Hypothesis testing in multivariate analysis (62H15)

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Cited In (67)

• On combining the zero bias transform and the empirical characteristic function to test normality
• Goodness-of-fit tests for multivariate skewed distributions based on the characteristic function
• Testing normality in any dimension by Fourier methods in a multivariate Stein equation
• Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
• Are You All Normal? It Depends!
• Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule
• A Q–Q plot for detecting non-multinormality based on a normal characterization and the S–W statistic
• A statistical test for the hypothesis of Gaussian random function
• Testing high-dimensional normality based on classical skewness and Kurtosis with a possible small sample size
• An affine invariant multiple test procedure for assessing multivariate normality
• The use of isotones for comparing tests of normality against skew normal distributions
• On energy tests of normality
• Some remarks on Koziol's kurtosis
• A comment on affine invariance and ancillarity in testing multivariate normality
• A robustified Jarque-Bera test for multivariate normality
• The limit distribution of weighted \(L^2\)-goodness-of-fit statistics under fixed alternatives, with applications
• Characterizations of multinormality and corresponding tests of fit, including for GARCH models
• Testing for normality in any dimension based on a partial differential equation involving the moment generating function
• Multivariate nonparametric test of independence
• A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families
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• Goodness-of-fit tests for the Weibull distribution based on the Laplace transform and Stein's method

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