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WROCŁAW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 25, Fasc. 1,
pages 43 - 54
 

ON A NEW AFFINE INVARIANT AND CONSISTENT TEST FOR MULTIVARIATE NORMALITY

Jan Pudełko

Abstract: We propose a new test for multivariate normality based on the empirical characteristic function. We show that the test is affine invariant and consistent against every non-normal alternative. The test considered in this paper is also able to detect contiguous alternatives that converge to the normal distribution at the rate n-1/2. The results of an extensive Monte Carlo study show that the test has power comparable with one of the best existing procedures.

2000 AMS Mathematics Subject Classification: 62G10 (62H15).

Key words and phrases: Test for multivariate normality, empirical characteristic function, goodness-of-fit-test.

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