Journal of the Korean Data and Information Science Society
- Volume 17 Issue 1
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- Pages.221-231
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- 2006
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- 1598-9402(pISSN)
A Test of Multivariate Normality Oriented for Testing Elliptical Symmetry
Abstract
A chi-squared test of multivariate normality is suggested which is oriented for detecting deviations from elliptical symmetry. We derive the limiting distribution of the test statistic via a central limit theorem on empirical processes. A simulation study is conducted to study the accuracy of the limiting distribution in finite samples. Finally, we compare the power of our method with those of other popular tests of multivariate normality under a non-normal distribution.