Tests for multivariate normality based on canonical correlations

DOI10.1007/S10260-013-0252-5zbMATH Open1359.62205arXiv1108.2986OpenAlexW3098122331MaRDI QIDQ520396FDOQ520396

Måns Thulin

Publication date: 3 April 2017

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Abstract: We propose new affine invariant tests for multivariate normality, based on independence characterizations of the sample moments of the normal distribution. The test statistics are obtained using canonical correlations between sets of sample moments, generalizing the Lin-Mudholkar test for normality. The tests are compared to some popular tests based on Mardia's skewness and kurtosis measures in an extensive simulation power study and are found to offer higher power against many of the alternatives.

Full work available at URL: https://arxiv.org/abs/1108.2986

zbMATH Keywords

kurtosisskewnessgoodness-of-fitmultivariate normalitytest for normality

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited In (13)

• Conditional test for rank in bivariate canonical correlation analysis
• A HETEROGENEITY TEST STATISTIC OF K CANONICAL CORRELATIONS AND ITS APPLICATION TO PRENATAL EXPOSURE
• A Correlation Test for Normality Based on the Lévy Characterization
• A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function
• Testing normality of latent variables in the polychoric correlation
• Estimation of multivariate 3rd moment for high-dimensional data and its application for testing multivariate normality
• Testing normality in any dimension by Fourier methods in a multivariate Stein equation
• Tests for multivariate normality -- a critical review with emphasis on weighted $L^2$-statistics
• Are You All Normal? It Depends!
• The effects of nonnormality on tests for dimensionality in canonical correlation and MANOVA models
• A new large sample goodness of fit test for multivariate normality based on chi squared probability plots
• A statistical test for the hypothesis of Gaussian random function
• A Closed Testing Procedure for Canonical Correlations

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