Invariant tests for multivariate normality: a critical review
- Cite this article as:
- Henze, N. Statistical Papers (2002) 43: 467. doi:10.1007/s00362-002-0119-6
- 894 Downloads
This paper gives a synopsis on affine invariant tests of the hypothesis that the unknown distribution of a d-dimensional random vector X is some nondegenerate d-variate normal distribution, on the basis of i.i.d. copies X1,...,Xn of X. Particular emphasis is given to progress that has been achieved during the last decade. Furthermore, we stress the typical diagnostic pitfall connected with purportedly ‘directed’ procedures, such as tests based on measures of multivariate skewness.