Testing multivariate normality by simulation
- 1 December 1986
- journal article
- research article
- Published by Taylor & Francis in Journal of Statistical Computation and Simulation
- Vol. 26 (3-4), 243-252
- https://doi.org/10.1080/00949658608810966
Abstract
The purpose of this paper is to propose a method of testing multivariate normality which guarantees the asymptotic size of the test. The basic idea is simulation of the actual percentage points of the distribution of a test statistic over a grid in a confidence region. Other tools which are called into service include non-parametric density estimation, likelihood ratio statistics, and spline interpolation. The procedure is compared with three well-known tests in a small simulation experiment.Keywords
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