A Generalization of Shapiro–Wilk's Test for Multivariate Normality

Autor:	José A. Villaseñor Alva, Elizabeth González Estrada
Rok vydání:	2009
Předmět:	Statistics and Probability media_common.quotation_subject Univariate Multivariate normal distribution Univariate distribution Normality test Goodness of fit Shapiro–Wilk test Statistics Econometrics ANOVA on ranks Normality media_common Mathematics
Zdroj:	Communications in Statistics - Theory and Methods. 38:1870-1883
ISSN:	1532-415X 0361-0926
DOI:	10.1080/03610920802474465
Popis:	A goodness-of-fit test for multivariate normality is proposed which is based on Shapiro–Wilk's statistic for univariate normality and on an empirical standardization of the observations. The critical values can be approximated by using a transformation of the univariate standard normal distribution. A Monte Carlo study reveals that this test has a better power performance than some of the best known tests for multinormality against a wide range of alternatives.
Databáze:	OpenAIRE
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