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Likelihood ratio tests for multivariate normality |
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| Authors: | Ilmun Kim Sangun Park |
| Institution: | 1. Department of Statistics, Carnegie Mellon University, Pittsburgh, Pennsylvania, USA;2. Department of Applied Statistics, Yonsei University, Seoul, Korea |
| Abstract: | This paper presents some powerful omnibus tests for multivariate normality based on the likelihood ratio and the characterizations of the multivariate normal distribution. The power of the proposed tests is studied against various alternatives via Monte Carlo simulations. Simulation studies show our tests compare well with other powerful tests including multivariate versions of the Shapiro–Wilk test and the Anderson–Darling test. |
| Keywords: | Anderson–Darling test Consistent test Empirical standardization Goodness of fit Likelihood ratio test Shapiro–Wilk test |