New tests for multivariate normality based on Small's and Srivastava's graphical methods

In this paper, we propose a new measure of fit which can be used in the case of quantile–quantile plots. This measure, when applied to Small's and Srivastava's graphical methods provides two new tests for assessing multivariate normality. For different sample sizes and numbers of variables, the critical values of these tests were evaluated via simulations. The power of the new tests and its comparison with some other tests for multivariate normality are presented herein.