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

Christopher J. Mecklin, christopher.mecklin@murraystate.edu
Daniel J. Mundfrom, daniel.mundfrom@unco.edu

Editor: Hector F. Coronel-Brizio,hcoronel@xal.megared.net.mx

READING THE ARTICLE: You can read the article in portable document (.pdf) format (140487 bytes.)

NOTE: The content of this article is the intellectual property of the authors, who retains all rights to future publication.

This page has been accessed 3368 times since July 24, 2006.

Return to the InterStat Home Page.