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arXiv · 2004.07332

Tests for multivariate normality -- a critical review with emphasis on weighted $L^2$-statistics

Bruno Ebner·Norbert Henze
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Abstract

This article gives a synopsis on new developments in affine invariant tests for multivariate normality in an i.i.d.-setting, with special emphasis on asymptotic properties of several classes of weighted $L^2$-statistics. Since weighted $L^2$-statistics typically have limit normal distributions under fixed alternatives to normality, they open ground for a neighborhood of model validation for normality. The paper also reviews several other invariant tests for this problem, notably the energy test, and it presents the results of a large-scale simulation study. All tests under study are implemented in the accompanying R-package mnt.

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Bruno Ebner, Norbert Henze. 2020-04-15. Tests for multivariate normality -- a critical review with emphasis on weighted $L^2$-statistics. https://arxiv.org/abs/2004.07332

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