Communications for Statistical Applications and Methods

  • 제27권5호
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  • Pages.501-510
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  • 2020
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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Omnibus tests for multivariate normality based on Mardia's skewness and kurtosis using normalizing transformation

  • 투고 : 2020.02.22
  • 심사 : 2020.06.10
  • 발행 : 2020.09.30
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초록

Mardia (Biometrika, 57, 519-530, 1970) defined measures of multivariate skewness and kurtosis. Based on these measures, omnibus test statistics of multivariate normality are proposed using normalizing transformations. The transformations we consider are normal approximation and a Wilson-Hilferty transformation. The normalizing transformation proposed by Enomoto et al. (Communications in Statistics-Simulation and Computation, 49, 684-698, 2019) for the Mardia's kurtosis is also considered. A comparison of power is conducted by a simulation study. As a result, sum of squares of the normal approximation to the Mardia's skewness and the Enomoto's normalizing transformation to the Mardia's kurtosis seems to have relatively good power over the alternatives that are considered.

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참고문헌

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