A test for normality and independence based on characteristic function

DOI10.1007/S00362-022-01365-1arXiv2107.04845OpenAlexW3179032521MaRDI QIDQ6201368FDOQ6201368

Authors: Wiktor Ejsmont, B. Milošević, Marko Obradović 

Publication date: 25 March 2024

Published in: Statistical Papers (Search for Journal in Brave)

Abstract: In this article we prove a generalization of the Ejsmont characterization of the multivariate normal distribution. Based on it, we propose a new test for independence and normality. The test uses an integral of the squared modulus of the difference between the product of empirical characteristic functions and some constant. Special attention is given to the case of testing univariate normality in which we derive the test statistic explicitly in terms of Bessel function, and the case of testing bivariate normality and independence. The tests show quality performance in comparison to some popular powerful competitors.

Full work available at URL: https://arxiv.org/abs/2107.04845

Recommendations

• A multivariate empirical characteristic function test of independence with normal marginals
• Two tests for multivariate normality based on the characteristic function
• A consistent test for multivariate normality based on the empirical characteristic function
• scientific article; zbMATH DE number 5019864
• Testing for normality in arbitrary dimension

zbMATH Keywords

multivariate normal distributiongoodness-of-fit testcharacterizationempirical characteristic function

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Characterization and structure theory of statistical distributions (62E10)

Cites Work

• Measuring and testing dependence by correlation of distances
• Tests for multivariate normality -- a critical review with emphasis on weighted \(L^2\)-statistics
• Weak convergence and empirical processes. With applications to statistics
• Penalized model-based clustering with application to variable selection
• Title not available (Why is that?)
• Title not available (Why is that?)
• Tests of goodness of fit based on the \(L_2\)-Wasserstein distance
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Brownian distance covariance
• Title not available (Why is that?)
• A consistent test for multivariate normality based on the empirical characteristic function
• A new approach to the BHEP tests for multivariate normality
• Testing normality via a distributional fixed point property in the Stein characterization
• A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function
• Modeling Financial Time Series with S-PLUS®
• Title not available (Why is that?)
• Title not available (Why is that?)
• A test for normality based on the empirical characteristic function
• An analysis of variance test for normality (complete samples)
• Selected Topics in Characteristic Functions
• A characterization of the normal distribution by the independence of a pair of random vectors
• Effective estimation algorithm for parameters of multivariate Farlie-Gumbel-Morgenstern copula
• Title not available (Why is that?)
• GARCH models. Structure, statistical inference and financial applications
• Title not available (Why is that?)
• A class of goodness-of-fit tests for circular distributions based on trigonometric moments

This page was built for publication: A test for normality and independence based on characteristic function

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6201368)