Are You All Normal? It Depends!

DOI10.1111/INSR.12512MaRDI QIDQ6089882zbMATH OpenOpenAlexFDO

Authors W. F. Chen, Marc G. Genton

Publication date 15 December 2023

Published in International Statistical Review (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2008.10957

zbMATH Keywords

spatial dependenceGaussian processspatial statisticstest for multivariate normalityJarque-Bera testskewness and kurtosis

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Multivariate analysis (62Hxx) Inference from stochastic processes (62Mxx)

Abstract: The assumption of normality has underlain much of the development of statistics, including spatial statistics, and many tests have been proposed. In this work, we focus on the multivariate setting and first review the recent advances in multivariate normality tests for i.i.d. data, with emphasis on the skewness and kurtosis approaches. We show through simulation studies that some of these tests cannot be used directly for testing normality of spatial data. We further review briefly the few existing univariate tests under dependence (time or space), and then propose a new multivariate normality test for spatial data by accounting for the spatial dependence. The new test utilizes the union-intersection principle to decompose the null hypothesis into intersections of univariate normality hypotheses for projection data, and it rejects the multivariate normality if any individual hypothesis is rejected. The individual hypotheses for univariate normality are conducted using a Jarque-Bera type test statistic that accounts for the spatial dependence in the data. We also show in simulation studies that the new test has a good control of the type I error and a high empirical power, especially for large sample sizes. We further illustrate our test on bivariate wind data over the Arabian Peninsula.

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Cited in

(2)

• Multivariate normality tests for serially correlated data
• Goodness-of-fit tests for multivariate skewed distributions based on the characteristic function

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