An empirical goodness-of-fit test for multivariate distributions |
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Authors: | Michael P. McAssey |
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Affiliation: | Department of Mathematics , Vrije Universiteit Amsterdam , Amsterdam , The Netherlands |
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Abstract: | An empirical test is presented as a tool for assessing whether a specified multivariate probability model is suitable to describe the underlying distribution of a set of observations. This test is based on the premise that, given any probability distribution, the Mahalanobis distances corresponding to data generated from that distribution will likewise follow a distinct distribution that can be estimated well by means of a large sample. We demonstrate the effectiveness of the test for detecting departures from several multivariate distributions. We then apply the test to a real multivariate data set to confirm that it is consistent with a multivariate beta model. |
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Keywords: | Mahalanobis distance multivariate beta distribution multivariate goodness-of-fit test multivariate normal distribution |
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