Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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On the Distribution of the Scaled Residuals under Multivariate Normal Distributions

  • Published : 1998.12.01
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Abstract

We prove (at least empirically) that some forms of the scaled residuals calculated from i.i.d. multivariate normal random vectors are ancillary. We further show that, if the scaled residuals are ancillary, then they have the same distribution whatever form of rotation is rosed to remove sample correlations.

Keywords

References

  1. Journal of the Royal Statistical Society-Series B v.45 On Assessing Multivariate Normality Koziol, J.A.
  2. Biometrika v.57 Measures of Multivariate Skewness and Kurtosis with Applications Mardia, K.V.
  3. Communications in Statistics-Theory and Methods v.10 Chi-square Test for Multivariate Normality with Application to Common Stock Prices Moore, D.D.;Stubblebine, J.B.
  4. Probability Theory and Related Fields v.87 Some New Tests for Multivariate Normality Quiroz, A.J.;Dudley, R.M.