A test for normality and independence based on characteristic function

DOI10.1007/S00362-022-01365-1MaRDI QIDQ6201368zbMATH OpenOpenAlexFDO

Authors Wiktor Ejsmont, B. Milošević, Marko Obradović

Publication date 25 March 2024

Published in Statistical Papers (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

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)

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.

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