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Multivariate Normality Tests Based on Principal Components
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 Title & Authors
Multivariate Normality Tests Based on Principal Components
Kim, Namhyun;
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 Abstract
In this paper, we investigate some measures as tests of multivariate normality based on principal components. The idea was proposed by Srivastava and Hui(1987). They generalized Shapiro-Wilk statistic for multi variate cases. We show the null distributions of the statistics do not depend on the unknown parameters and mention the asymptotic null distributions. Also power performance of the tests are assessed in a Monte Carlo study.
 Keywords
Shapiro-Wilk statistic;skewness;multivariate normality;principal components;
 Language
Korean
 Cited by
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