An affine invariant multiple test procedure for assessing multivariate normality

被引：17

作者：

Tenreiro, Carlos ^{[1
]}

机构：

[1] Univ Coimbra, Dept Math, CMUC, P-3001454 Coimbra, Portugal

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2011年 / 55卷 / 05期

关键词：

Multivariate normality tests; Affine invariance; Multiple testing; Mardia tests; BHEP tests; GOODNESS-OF-FIT; SKEWNESS;

D O I：

10.1016/j.csda.2010.12.004

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

A multiple test procedure for assessing multivariate normality (MVN) is proposed. The new test combines a finite set of affine invariant test statistics for MVN through an improved Bonferroni method. The usefulness of such an approach is illustrated by a multiple test including the Mardia and BHEP (Baringhaus-Henze-Epps-Pulley) tests that are among the most recommended procedures for testing MVN. A simulation study carried out for a wide range of alternative distributions, in order to analyze the finite sample power behavior of the proposed multiple test procedure, indicates that the new test demonstrates a good overall performance against other highly recommended MVN tests. (C) 2010 Elsevier B.V. All rights reserved.

引用

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页数：13

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