Characterizations of multinormality and corresponding tests of fit, including for GARCH models
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Abstract: We provide novel characterizations of multivariate normality that incorporate both the characteristic function and the moment generating function, and we employ these results to construct a class of affine invariant, consistent and easy-to-use goodness-of-fit tests for normality. The test statistics are suitably weighted -statistics, and we provide their asymptotic behavior both for i.i.d. observations as well as in the context of testing that the innovation distribution of a multivariate GARCH model is Gaussian. We also study the finite-sample behavior of the new tests and compare the new criteria with alternative existing tests.
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- scientific article; zbMATH DE number 5019864
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Cited in
(21)- Tests for multivariate normality -- a critical review with emphasis on weighted L^2-statistics
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