Estimating p-values for Mardia’s coefficients of multivariate skewness and kurtosis
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Mardia’s coefficients of multivariate skewness and kurtosis can be used to assess the multivariate normality assumption that must be satisfied in many multivariate statistical procedures. However, the asymptotic tests of multivariate skewness and kurtosis do not perform well in small samples. A Monte Carlo method for accurately estimating the p-value is proposed and illustrated.
KeywordsKurtosis Monte Carlo Multivariate normality p-value Skewness
- Berry, D.A. & Lindgren, B.W. (1996), Statistics: Theory and Methods, 2nd ed. Duxbury, Belmont.Google Scholar