Abstract #301022

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JSM 2003 Abstract #301022
Activity Number: 209
Type: Contributed
Date/Time: Tuesday, August 5, 2003 : 8:30 AM to 10:20 AM
Sponsor: Section on Nonparametric Statistics
Abstract - #301022
Title: A Test for Multivariate Normality Based on a Kurtosis Functional
Author(s): Jin Wang*+ and Robert J. Serfling
Companies: University of Texas, Dallas and The University of Texas, Dallas
Address: Department of Mathematical Sciences, Richardson, TX, 75083,
Keywords: multivariate ; test of normality ; kurtosis functional ; elliptically symmetric
Abstract:

Based on a nonparametric multivariate kurtosis functional, a new and intuitively appealing test for multivariate normality is developed and studied. The test is necessary and sufficient in the case of elliptically symmetric distributions, and this leads to favorable power, as shown by Monte Carlo simulations. The procedure yields a new test in the univariate case as well. In similar fashion, the approach may be used to develop a necessary and sufficient kurtosis-based test for any other affinely equivalent subfamily of elliptically symmetric distributions.

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