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.
Bibliographical noteFunding Information:
This research of the second author was supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education [grant number NRF-R1D1A1A01056578].
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All Science Journal Classification (ASJC) codes
- Statistics and Probability