Journal of the Korean Data and Information Science Society
- Volume 15 Issue 2
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- Pages.423-430
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- 2004
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- 1598-9402(pISSN)
A Note on the Simple Chi-Squared Test of Multivariate Normality
Abstract
We provide the exact form of a Rao-Robson version of the chi-squared test of multivariate normality suggested by Park(2001). This test is easy to apply in practice since it is easily computed and has a limiting chi-squared distribution under multivariate normality. A self-contained formal argument is provided that it has the limiting chi-squared distribution. A simulation study is provided to study the accuracy, in finite samples, of the limiting distribution. Finally, a simulation study in a nonnormal distribution is conducted in order to compare the power of our test with those of other popular normality tests.