Univariate likelihood projections and characterizations of the multivariate normal distribution

DOI10.1016/J.JMVA.2020.104643MaRDI QIDQ2196125zbMATH OpenOpenAlexFDO

Authors Albert Vexler

Publication date 28 August 2020

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1910.12394

zbMATH Keywords

likelihoodmultivariate normal distributionprojectionquadratic formtest for multivariate normalitycharacterizationinfinity divisible

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07) Nonparametric hypothesis testing (62G10) Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15) Characterization and structure theory of statistical distributions (62E10)

Abstract: The problem of characterizing a multivariate distribution of a random vector using examination of univariate combinations of vector components is an essential issue of multivariate analysis. The likelihood principle plays a prominent role in developing powerful statistical inference tools. In this context, we raise the question: can the univariate likelihood function based on a random vector be used to provide the uniqueness in reconstructing the vector distribution? In multivariate normal (MN) frameworks, this question links to a reverse of Cochran's theorem that concerns the distribution of quadratic forms in normal variables. We characterize the MN distribution through the univariate likelihood type projections. The proposed principle is employed to illustrate simple techniques for assessing multivariate normality via well-known tests that use univariate observations. The presented testing strategy can exhibit high and stable power characteristics in comparison to the well-known procedures in various scenarios when observed vectors are non-MN distributed, whereas their components are normally distributed random variables. In such cases, the classical multivariate normality tests may break down completely. KEY WORDS: Characterization, Goodness of fit, Infinity divisible, Likelihood, Multivariate normal distribution, Projection, Quadratic form, Test for multivariate normality.

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Cited in

(2)

• A comment on affine invariance and ancillarity in testing multivariate normality
• An exact projection pursuit-based algorithm for multivariate two-sample nonparametric testing applicable to retrospective and group sequential studies

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Uses Software

• testforDEP
• R

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