Multivariate statistical simulation
Multivariate statistical simulation
A comparative study of goodness-of-fit tests for multivariate normality
Journal of Multivariate Analysis
A new approach to the BHEP tests for multivariate normality
Journal of Multivariate Analysis
An approximate method for generating asymmetric random variables
Communications of the ACM
Local power properties of kernel based goodness of fit tests
Journal of Multivariate Analysis
The meta-elliptical distributions with given marginals
Journal of Multivariate Analysis
A goodness-of-fit test for normality based on polynomial regression
Computational Statistics & Data Analysis
Testing for the generalized normal-Laplace distribution with applications
Computational Statistics & Data Analysis
An affine invariant multiple test procedure for assessing multivariate normality
Computational Statistics & Data Analysis
Goodness-of-fit tests in semi-linear models
Statistics and Computing
Goodness-of-fit tests for multivariate Laplace distributions
Mathematical and Computer Modelling: An International Journal
Asymptotic theory for the test for multivariate normality by Cox and Small
Journal of Multivariate Analysis
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The BHEP (Baringhaus-Henze-Epps-Pulley) test for assessing univariate and multivariate normality has shown itself to be a relevant test procedure, recommended in some recent comparative studies. It is well known that the finite sample behaviour of the BHEP goodness-of-fit test strongly depends on the choice of a smoothing parameter h. A theoretical and finite sample based description of the role played by the smoothing parameter in the detection of departures from the null hypothesis of normality is given. Additionally, the results of a Monte Carlo study are reported in order to propose an easy-to-use rule for choosing h. In the important multivariate case, and contrary to the usual choice of h, the BHEP test with the proposed smoothing parameter presents a comparatively good performance against a wide range of alternative distributions. In practice, if no relevant information about the tail of the alternatives is available, the use of this new bandwidth is strongly recommended. Otherwise, new choices of h which are suitable for short tailed and long tailed alternative distributions are also proposed.