Testing normality in any dimension by Fourier methods in a multivariate Stein equation

We study a novel class of affine-invariant and consistent tests for multivariate normality. The tests are based on a characterization of the standard d-variate normal distribution by way of the unique solution of an initial value problem connected to a partial differential equation, which is motivated by a multivariate Stein equation. The test criterion is a suitably weighted L2-statistic. We derive the limit distribution of the test statistic under the null hypothesis as well as under contiguous and fixed alternatives to normality. A consistent estimator of the limiting variance under fixed alternatives, as well as an asymptotic confidence interval of the distance of an underlying alternative with respect to the multivariate normal law, is derived. In simulation studies, we show that the tests are strong in comparison with prominent competitors and that the empirical coverage rate of the asymptotic confidence interval converges to the nominal level. We present a real data example and also outline topics for further research.