Likelihood ratio tests for multivariate normality

Ilmun Kim; Sangun Park

doi:10.1080/03610926.2017.1332218

Likelihood ratio tests for multivariate normality

Ilmun Kim, Sangun Park

Department of Applied Statistics

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

Abstract

This paper presents some powerful omnibus tests for multivariate normality based on the likelihood ratio and the characterizations of the multivariate normal distribution. The power of the proposed tests is studied against various alternatives via Monte Carlo simulations. Simulation studies show our tests compare well with other powerful tests including multivariate versions of the Shapiro–Wilk test and the Anderson–Darling test.

Original language	English
Pages (from-to)	1923-1934
Number of pages	12
Journal	Communications in Statistics - Theory and Methods
Volume	47
Issue number	8
DOIs	https://doi.org/10.1080/03610926.2017.1332218
Publication status	Published - 2018 Apr 18

Bibliographical note

Funding Information:
This research of the second author was supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education [grant number NRF-R1D1A1A01056578].

Publisher Copyright:
© 2018 Taylor & Francis Group, LLC.

All Science Journal Classification (ASJC) codes

Statistics and Probability

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10.1080/03610926.2017.1332218

Cite this

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Likelihood ratio tests for multivariate normality

Abstract

Bibliographical note

All Science Journal Classification (ASJC) codes

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