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Multivariate Normality, Tests of
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AbstractTesting for multivariate normality in a sample of observations presents greater difficulty than testing for univariate normality. Tests for multivariate normality are mostly based on either the unique properties of the multivariate normality, generalizations of tests for univariate normality, or generalizations of univariate tests for goodness‐of‐fit. Several methods of assessing multivariate normality are presented here, with a focus on those tests that are easily applied and/or have good power properties. Some plots that can be used for subjectively determining the normality of a sample of observations are also described.
Title: Multivariate Normality, Tests of
Description:
AbstractTesting for multivariate normality in a sample of observations presents greater difficulty than testing for univariate normality.
Tests for multivariate normality are mostly based on either the unique properties of the multivariate normality, generalizations of tests for univariate normality, or generalizations of univariate tests for goodness‐of‐fit.
Several methods of assessing multivariate normality are presented here, with a focus on those tests that are easily applied and/or have good power properties.
Some plots that can be used for subjectively determining the normality of a sample of observations are also described.
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