An Omnibus Test for Univariate and Multivariate Normality
作者： Jurgen A. Doornik , Henrik Hansen
DOI: 10.1111/J.1468-0084.2008.00537.X
关键词: Univariate 、 Kurtosis 、 Econometrics 、 Omnibus test 、 Mathematics 、 Normality test 、 Joint probability distribution 、 Multivariate normal distribution 、 Normality 、 Multivariate statistics 、 Statistics
摘要: We suggest a convenient version of the omnibus test for normality, using skewness and kurtosis based on Shenton Bowman [Journal American Statistical Association (1977) Vol. 72, pp. 206–211], which controls well size, samples as low 10 observations. A multivariate is introduced. Size power are investigated in comparison with four other tests normality. The first experiments consider whole skewness–kurtosis plane; second use bivariate distribution has normal marginals. It concluded that proposed best size properties considered.
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