An Omnibus Test for Univariate and Multivariate Normality

• Autores: Jurgen A. Doornik, Henrik Hansen
• Localización: Oxford bulletin of economics and statistics, ISSN 0305-9049, Vol. 70, Nº. 6, 2008, págs. 927-939
• Idioma: inglés
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• Dialnet Métricas: 14 Citas
• Resumen

  • We suggest a convenient version of the omnibus test for normality, using skewness and kurtosis based on Shenton and Bowman [Journal of the American Statistical Association (1977) Vol. 72, pp. 206–211], which controls well for size, for samples as low as 10 observations. A multivariate version is introduced. Size and power are investigated in comparison with four other tests for multivariate normality. The first power experiments consider the whole skewness–kurtosis plane; the second use a bivariate distribution which has normal marginals. It is concluded that the proposed test has the best size and power properties of the tests considered.