TY - JOUR
T1 - New invariant and consistent chi-squared type goodness-of-fit tests for multivariate normality and a related comparative simulation study
AU - Voinov, Vassilly
AU - Pya, Natalie
AU - Makarov, Rashid
AU - Voinov, Yevgeniy
PY - 2016/6/2
Y1 - 2016/6/2
N2 - ABSTRACT: New invariant and consistent goodness-of-fit tests for multivariate normality are introduced. Tests are based on the Karhunen–Loève transformation of a multidimensional sample from a population. A comparison of simulated powers of tests and other well-known tests with respect to some alternatives is given. The simulation study demonstrates that power of the proposed McCull test almost does not depend on the number of grouping cells. The test shows an advantage over other chi-squared type tests. However, averaged over all of the simulated conditions examined in this article, the Anderson–Darling type and the Cramer–von Mises type tests seem to be the best.
AB - ABSTRACT: New invariant and consistent goodness-of-fit tests for multivariate normality are introduced. Tests are based on the Karhunen–Loève transformation of a multidimensional sample from a population. A comparison of simulated powers of tests and other well-known tests with respect to some alternatives is given. The simulation study demonstrates that power of the proposed McCull test almost does not depend on the number of grouping cells. The test shows an advantage over other chi-squared type tests. However, averaged over all of the simulated conditions examined in this article, the Anderson–Darling type and the Cramer–von Mises type tests seem to be the best.
KW - Chi-squared goodness-of-fit tests
KW - Invariant and consistent tests
KW - Multivariate normality
KW - Power of tests
KW - Symmetric alternatives
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U2 - 10.1080/03610926.2014.901370
DO - 10.1080/03610926.2014.901370
M3 - Review article
AN - SCOPUS:84970021251
VL - 45
SP - 3249
EP - 3263
JO - Communications in Statistics - Theory and Methods
JF - Communications in Statistics - Theory and Methods
SN - 0361-0926
IS - 11
ER -