Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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A Goodness-of-Fit Test for Multivariate Normal Distribution Using Modified Squared Distance

  • Yim, Mi-Hong (Department of Information Statistics, Chungnam National University) ;
  • Park, Hyun-Jung (Trends Analysis Division, Statistical Research Institute) ;
  • Kim, Joo-Han (Department of Information Statistics, Chungnam National University)
  • Received : 2012.04.02
  • Accepted : 2012.05.22
  • Published : 2012.07.31
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Abstract

The goodness-of-fit test for multivariate normal distribution is important because most multivariate statistical methods are based on the assumption of multivariate normality. We propose goodness-of-fit test statistics for multivariate normality based on the modified squared distance. The empirical percentage points of the null distribution of the proposed statistics are presented via numerical simulations. We compare performance of several test statistics through a Monte Carlo simulation.

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References

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