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

DOI10.1080/03610918.2017.1315771OpenAlexW2605440532MaRDI QIDQ5084928

Kazuyuki Koizumi, Takashi Seo, Rie Enomoto, Zofia Hanusz

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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Cites Work

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