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Tests for multivariate normality—a critical review with emphasis on weighted $$L^2$$-statistics

Ebner, Bruno; Henze, Norbert

Abstract:
This article gives a synopsis on new developments in affine invariant tests for multivariate normality in an i.i.d.-setting, with special emphasis on asymptotic properties of several classes of weighted L$^{2}$-statistics. Since weighted L$^{2}$-statistics typically have limit normal distributions under fixed alternatives to normality, they open ground for a neighborhood of model validation for normality. The paper also reviews several other invariant tests for this problem, notably the energy test, and it presents the results of a large-scale simulation study. All tests under study are implemented in the accompanying R-package mnt.

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Verlagsausgabe §
DOI: 10.5445/IR/1000129679
Veröffentlicht am 12.02.2021
Cover der Publikation
Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Zeitschriftenaufsatz
Publikationsmonat/-jahr 12.2020
Sprache Englisch
Identifikator ISSN: 1133-0686, 1863-8260
KITopen-ID: 1000129679
Erschienen in TEST
Verlag Springer
Band 29
Heft 4
Seiten 845–892
Vorab online veröffentlicht am 01.12.2020
Nachgewiesen in Web of Science
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