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A graphical method for assessing multivariate normality

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Summary

In this paper we suggest a simple graphical device for assessing multivariate normality. The method is based on the characteristic that linear combinations of the sample mean and sample covariance matrix are independent if and only if the random variable is normally distributed. We demonstrate the usage of the suggested method and compare it to the classical Q-Q plot by using some multivariate data sets.

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Authors and Affiliations

  1. Dept of Economics and Statistics, PO Box 1026, SE 551 11, Jönköping, Sweden

    H. E. T. Holgersson

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  1. H. E. T. Holgersson
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Holgersson, H.E.T. A graphical method for assessing multivariate normality. Computational Statistics 21, 141–149 (2006). https://doi.org/10.1007/s00180-006-0256-9

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  • DOI: https://doi.org/10.1007/s00180-006-0256-9

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