arXiv subjects
Publications and source records attributed to Sara Elbouch.
Performances of the Multivariate Kurtosis are investigated when applied to colored data, with or without Auto-Regressive pre-whitening, and with or without projection onto a lower-dimensional random subspace. Computer experiments demonstrate the importance of taking into account the possible color of the process in calculating the power of the normality test, in all the scenarios.
Most normality tests in the literature are performed for scalar and independent samples. Thus, they become unreliable when applied to colored processes, hampering their use in realistic scenarios.We focus on Mardia's multivariate kurtosis, derive closed-form expressions of its asymptotic distribution for statistically dependent samples, under the null hypothesis of normality and a mixing condition. The calculus is long and tedious but the final result is simple and is implemented with a low computational burden. The proposed expression of the test power exhibits good properties on various scenarios; this is illustrated by computer experiments by means of copulas.
Extensive literature exists on how to test for normality, especially for identically and independently distributed (i.i.d) processes. The case of dependent samples has also been addressed, but only for scalar random processes. For this reason, we have proposed a joint normality test for multivariate time-series, extending Mardia's Kurtosis test. In the continuity of this work, we provide here an original performance study of the latter test applied to two-dimensional projections. By leveraging copula, we conduct a comparative study between the bivariate tests and their scalar counterparts. This simulation study reveals that one-dimensional random projections lead to notably less powerful tests than two-dimensional ones.