On Using Asymptotic Critical Values in Testing for Multivariate Normality
by Christopher J. Mecklin and Daniel J. Mundfrom.
Abstract:
The purpose of this study was to examine the power of 8
promising tests of multivariate normality with a Monte Carlo
study. No single test was found to be the most powerful in all
situations. The use of the Henze-Zirkler test is recommended as a
formal test of multivariate normality. Supplementary procedures such as
Mardia's skewness and kurtosis measures and the chi-square plot are also
recommended for diagnosing possible deviations from normality.
Key Words:
Power comparison; Mardia's skewness and kurtosis;
Empirical characteristic function; Goodness-of-fit
Authors:
Christopher J. Mecklin, christopher.mecklin@murraystate.edu
Daniel J. Mundfrom, daniel.mundfrom@unco.edu
Editor:
Hector F. Coronel-Brizio,hcoronel@xal.megared.net.mx
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