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다변량 정규성검정을 위한 근사 SHAPIRO-WILK 통계량의 일반화

An Approximate Shapiro -Wilk Statistic for Testing Multivariate Normality

  • 발행 : 2004.03.01

초록

본 논문에서는 Kim & Bickel(2003)에서 제안한 이변량 정규분포를 위한 검정통계량을 Fattorini(1986)의 방법을 이용하여 이변량 이상인 경우에도 실제적으로 사용가능 하도록 일반화하였다. Fattorini(1986)의 통계량은 Shapiro & Wilk(1965)의 일변량 정규분포를 위한 검정통계량을 다변량으로 확장한 것이다. 그리고 제안된 통계량은 Fat-torini(1986) 통계량의 근사통계량으로 생각할 수 있으며 표본의 크기가 클 때도 사용 가능하다. 또한 모의실험을 통하여 여러 가지 대립가설에서 기존의 통계량과의 검정력을 비교하였다.

In this paper, we generalizes Kim and Bickel(2003)'s statistic for bivariate normality to that of multinormality, applying Fattorini(1986)'s method. Fattorini(1986) generalized Shapiro-Wilk's statistic for univariate normality to multivariate cases. The proposed statistic could be considered as an approximate statistic to Fattorini(1986)'s. It can be used even for a big sample size. Power performance of the proposed test is assessed in a Monte Carlo study.

키워드

참고문헌

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피인용 문헌

  1. Multivariate Normality Tests Based on Principal Components vol.10, pp.3, 2003, https://doi.org/10.5351/CKSS.2003.10.3.765
  2. Tests Based on Skewness and Kurtosis for Multivariate Normality vol.22, pp.4, 2015, https://doi.org/10.5351/CSAM.2015.22.4.361