A new test for multivariate normality by combining extreme and nonextreme BHEP tests (Journal Article)

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Type: Journal Article
National /International: International
Title: A new test for multivariate normality by combining extreme and nonextreme BHEP tests
Publication Date: 2017
Authors: - Carlos Tenreiro
Journal Name: Communications in Statistics - Simulation and Computation
Volume: 46
Number: 3
Pages: 1746-1759
Abstract: In this article, we propose a new multiple test procedure for assessing multivariate normality, which combines BHEP (Baringhaus–Henze–Epps–Pulley) tests by considering extreme and nonextreme choices of the tuning parameter in the definition of the BHEP test statistic. Monte Carlo power comparisons indicate that the new test presents a reasonable power against a wide range of alternative distributions, showing itself to be competitive against the most recommended procedures for testing a multivariate hypothesis of normality. We further illustrate the use of the new test for the Fisher Iris dataset. 
Online version: http://www.tandfonli...3610918.2015.1011334
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