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http://dx.doi.org/10.5351/KJAS.2002.15.2.223

A Test of the Multivariate Normality Based on Likelihood Functions  

Yeo, In-Kwon (Division of Mathematics and Statistical Informatics, Chonbuk National University)
Publication Information
The Korean Journal of Applied Statistics / v.15, no.2, 2002 , pp. 223-232 More about this Journal
Abstract
The present paper develops a test of the multivariate normality based on nonlinear transformations and the likelihood function. For checking the normality, we test the shape parameter which indexes the family of transformations. A score test and a parametric bootstrap test are used to evaluate the discrepancy between the data and a multivariate normal distribution. In order to compare the performance of our test with the existing tests, a simulation study was carried out for several situations where nuisance parameters have to be estimated. The results showed that the proposed method is superior to the existing methods.
Keywords
Power transformation; Bootstrap test; Score test;
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