A Monte Carlo comparison of Jarque–Bera type tests and Henze–Zirkler test of multivariate normality

DOI10.1080/03610918.2017.1315771MaRDI QIDQ5084928zbMATH OpenOpenAlexFDO

Authors Zofia Hanusz, Rie Enomoto, Takashi Seo, Kazuyuki Koizumi

Publication date 29 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2017.1315771

zbMATH Keywords

multivariate skewnessmultivariate kurtosismultivariate normality testJarque-Bera's type test

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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• A Monte Carlo comparison of the Type I and Type II error rates of tests of multivariate normality
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• A class of invariant consistent tests for multivariate normality
• A comparative study of goodness-of-fit tests for multivariate normality
• An Appraisal and Bibliography of Tests for Multivariate Normality
• Invariant tests for multivariate normality: A critical review
• Measures of multivariate skewness and kurtosis with applications
• Multivariate extension of chi-squared univariate normality test
• On Jarque-Bera tests for assessing multivariate normality
• On tests for multivariate normality and associated simulation studies

Cited in

(4)

• Multivariate normality test based on kurtosis with two-step monotone missing data
• Tests for multivariate normality -- a critical review with emphasis on weighted \(L^2\)-statistics
• Are You All Normal? It Depends!
• Multivariate normality test using normalizing transformation for Mardia’s multivariate kurtosis

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