Likelihood ratio tests for multivariate normality

Ilmun Kim, Sangun Park

Research output: Contribution to journalArticle

2 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)1923-1934
Number of pages12
JournalCommunications in Statistics - Theory and Methods
Volume47
Issue number8
DOIs
Publication statusPublished - 2018 Apr 18

All Science Journal Classification (ASJC) codes

  • Statistics and Probability

Fingerprint Dive into the research topics of 'Likelihood ratio tests for multivariate normality'. Together they form a unique fingerprint.

  • Cite this