An affine invariant multiple test procedure for assessing multivariate normality

Detalhes bibliográficos
Autor(a) principal: Tenreiro, Carlos
Data de Publicação: 2011
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10316/43979
https://doi.org/10.1016/j.csda.2010.12.004
Resumo: A multiple test procedure for assessing multivariate normality (MVN) is proposed. The new test combines a finite set of affine invariant test statistics for MVN through an improved Bonferroni method. The usefulness of such an approach is illustrated by a multiple test including Mardia's and BHEP (Baringhaus-Henze-Epps-Pulley) tests that are among the most recommended procedures for testing MVN. A simulation study carried out for a wide range of alternative distributions, in order to analyze the finite sample power behavior of the proposed multiple test procedure, indicates that the new test demonstrates a good overall performance against other highly recommended MVN tests.
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spelling An affine invariant multiple test procedure for assessing multivariate normalityA multiple test procedure for assessing multivariate normality (MVN) is proposed. The new test combines a finite set of affine invariant test statistics for MVN through an improved Bonferroni method. The usefulness of such an approach is illustrated by a multiple test including Mardia's and BHEP (Baringhaus-Henze-Epps-Pulley) tests that are among the most recommended procedures for testing MVN. A simulation study carried out for a wide range of alternative distributions, in order to analyze the finite sample power behavior of the proposed multiple test procedure, indicates that the new test demonstrates a good overall performance against other highly recommended MVN tests.2011info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10316/43979http://hdl.handle.net/10316/43979https://doi.org/10.1016/j.csda.2010.12.004https://doi.org/10.1016/j.csda.2010.12.004enghttps://doi.org/10.1016/j.csda.2010.12.004Tenreiro, Carlosinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2021-06-29T10:02:59Zoai:estudogeral.uc.pt:10316/43979Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:53:30.975174Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv An affine invariant multiple test procedure for assessing multivariate normality
title An affine invariant multiple test procedure for assessing multivariate normality
spellingShingle An affine invariant multiple test procedure for assessing multivariate normality
Tenreiro, Carlos
title_short An affine invariant multiple test procedure for assessing multivariate normality
title_full An affine invariant multiple test procedure for assessing multivariate normality
title_fullStr An affine invariant multiple test procedure for assessing multivariate normality
title_full_unstemmed An affine invariant multiple test procedure for assessing multivariate normality
title_sort An affine invariant multiple test procedure for assessing multivariate normality
author Tenreiro, Carlos
author_facet Tenreiro, Carlos
author_role author
dc.contributor.author.fl_str_mv Tenreiro, Carlos
description A multiple test procedure for assessing multivariate normality (MVN) is proposed. The new test combines a finite set of affine invariant test statistics for MVN through an improved Bonferroni method. The usefulness of such an approach is illustrated by a multiple test including Mardia's and BHEP (Baringhaus-Henze-Epps-Pulley) tests that are among the most recommended procedures for testing MVN. A simulation study carried out for a wide range of alternative distributions, in order to analyze the finite sample power behavior of the proposed multiple test procedure, indicates that the new test demonstrates a good overall performance against other highly recommended MVN tests.
publishDate 2011
dc.date.none.fl_str_mv 2011
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10316/43979
http://hdl.handle.net/10316/43979
https://doi.org/10.1016/j.csda.2010.12.004
https://doi.org/10.1016/j.csda.2010.12.004
url http://hdl.handle.net/10316/43979
https://doi.org/10.1016/j.csda.2010.12.004
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