Multivariate statistical simulation
Multivariate statistical simulation
Limit distributions for measures of multivariate Skewness and Kurtosis based on projections
Journal of Multivariate Analysis
A new test for multivariate normality
Journal of Multivariate Analysis
On the choice of the smoothing parameter for the BHEP goodness-of-fit test
Computational Statistics & Data Analysis
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We derive the limit distribution of the statistic of Cox and Small (1978) [5] for testing multivariate normality when the underlying distribution is elliptically-symmetric. Moreover, we consider fixed and contiguous alternatives to normality. Empirical critical values as well as a Monte Carlo simulation for comparison to classical procedures are provided. We further show how some results can also be used for asymptotic results of the test for normality of Malkovich and Afifi.