Goodness-of-fit tests for multivariate distributions

Date

2006-01-01

Author

Sürücü, Barış

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We propose three new statistics, Z(p), C-p, and R-p for testing a p-variate (p >= 2) normal distribution and compare them with the prominent test statistics. We show that C-p is overall most powerful and is effective against skew, long-tailed as well as short-tailed symmetric alternatives. We show that Z(p) and R-p are most powerful against skew and long-tailed alternatives, respectively. The Z(p) and R-p statistics can also be used for testing an assumed p-variate nonnormal distribution.

Subject Keywords

Statistics and Probability

URI

https://hdl.handle.net/11511/39078

Journal

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

DOI

https://doi.org/10.1080/03610920600628999

Collections

Department of Statistics, Article

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Citation Formats

B. Sürücü, “Goodness-of-fit tests for multivariate distributions,” COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, pp. 1319–1331, 2006, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/39078.