A Bayesian Nonparametric Test for Assessing Multivariate Normality
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Publication:6316680
arXiv1904.02415MaRDI QIDQ6316680FDOQ6316680
Luai Al-Labadi, Zahra Saberi, Forough Fazeli Asl
Publication date: 4 April 2019
Abstract: In this paper, a novel Bayesian nonparametric test for assessing multivariate normal models is presented. While there are extensive frequentist and graphical methods for testing multivariate normality, it is challenging to find Bayesian counterparts. The proposed approach is based on the use of the Dirichlet process and Mahalanobis distance. More precisely, the Mahalanobis distance is employed as a good technique to transform the -variate problem into a univariate problem. Then the Dirichlet process is used as a prior on the distribution of the Mahalanobis distance. The concentration of the distribution of the distance between the posterior process and the chi-square distribution with degrees of freedom is compared to the concentration of the distribution of the distance between the prior process and the chi-square distribution with degrees of freedom via a relative belief ratio. The distance between the Dirichlet process and the chi-square distribution is established based on the Anderson-Darling distance. Key theoretical results of the approach are derived. The procedure is illustrated through several examples, in which the proposed approach shows excellent performance.
Bayesian inference (62F15) Nonparametric hypothesis testing (62G10) Hypothesis testing in multivariate analysis (62H15)
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