Multivariate Normality Test with Copula Entropy

Autor:	Ma, Jian
Rok vydání:	2022
Předmět:	Statistics - Methodology
Druh dokumentu:	Working Paper
Popis:	In this paper, we proposed a multivariate normality test based on copula entropy. The test statistic is defined as the difference between the copula entropies of unknown distribution and the Gaussian distribution with same covariances. The estimator of the test statistic is presented based on the nonparametric estimator of copula entropy. Two simulation experiments were conducted to compare the proposed test with the five existing ones. Experiment results show the advantage of our test over the others. Comment: 6 pages, 2 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2206.05956 Zobrazit plný text záznamu View this record from Arxiv