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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