69
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

Tests for multinormality with applications to time series

, , &
Pages 519-536 | Received 01 Dec 1997, Published online: 27 Jun 2007

References

  • Ahn , S.K. 1992 . F-probability plot and its application to multivariate normality . Commun. Statist. A-Theor. Meth , 31 : 997 – 1023 .
  • Andrews , D. F. , Gnanadesikan , R. and Warner , J. L. 1973 . Methods for assessing multivariate normality in Multivariate Analysis , Edited by: Krishnaiah , P.K. 95 – 116 . New York : Academic Press .
  • Baringhaus , L. and Hcnzc , N. 1988 . A consistent test for multivariate normality based on the empirical characteristic function . Metrika , 35 : 339 – 348 .
  • Baringhaus , L. and Henze , N. 1992 . Limit distributions for Mardia's measure of multivariate skewness . Annals of Statistics , 20 : 1989 – 2002 .
  • Biliingsley , P. 1986 . Probability and Measure , New York : Wiley .
  • Bowman , A.W. and Foster , P.J. 1993 . Adaptive smoothing and density-based tests of multivariate normality . J. of Amer. Statist. Assoc , 88 : 529 – 537 .
  • Cox , D. R. and Small , N. J. H. 1978 . Testing multivariate normality . Biometrika , 65 : 263 – 272 .
  • Csorgo , S. 1986 . Testing for normality in arbitrary dimension . Annals of Statistics , 14 : 708 – 793 .
  • Csorgo , S. 1989 . Consistency of some tests for multivariate normality . Metrika , 36 : 107 – 116 .
  • Epps , l.W. 1987 . Testing that a nationary time series Ganssian . Annals of Statistics , 15 : 1683 – 1698 .
  • Epps , T.W. and Pulley , L.B. 1983 . A test for normality based on the empirical characteristic function . Biometrika , 70 : 723 – 726 .
  • Granger , C. W. J. and Newbold , P. 1978 . Forecasting transformed series . J. Roy. Statist. Soc. Ser. B , 38 : 189 – 203 .
  • Healv , M. J. R. 1968 . Multivariate normal plotting . Appl. Statist , 17 : 157 – 161 .
  • Henze , N. and Zirkler , B. 1990 . A class of invariant consistent tests for multivariate normality . Commun. Statist A-Theor. Meth , 19 : 3595 – 3617 .
  • Henze , N. 1994 . On Mardia's kurtosis test for multivariate normality . Commun. Statist. A-Theor. Meth , 23 : 1031 – 1045 .
  • Henze , N. 1997 . Extreme smoothing and testing for multivariate normality . Statist & Prob. Letters , 35 : 203 – 213 .
  • Henze , N. and Wagner , Th. 1997 . A new approach to the BHEP tests for multivariate normality . Journ. Multiv. Anal , 62 : 1 – 23 .
  • Hinich , M. J. 1982 . Testing for Gaussianity and linearity of a stationary time series . J. Time Ser. Anal , 3 : 169 – 176 .
  • Horswell , R.L. and Looney , St.W. 1992 . A comparison of tests for multivariate normality that are based on measure of multivariate skewness and kurtosis . Journ. Statist. Comp. Simu , 42 : 21 – 38 .
  • Kariya T. George E. I. Locally best invariant tests for multivariate normality Technical Report 103 Statistics Research Center, University of Chicago 1991
  • Kariya , T. and George , E.T. 1995 . Locally best invariant tests for multivariate normality . Sankhya , 57 : 440 – 451 .
  • Keenan , D. M. 1983 . Limiting behavior of functionais of the sample spectral distriuution . Annals of Statistics , 11 : 1206 – 1217 .
  • Kendall , M. G. and Stuart , A. 1979 . The Advanced Theory of Statistics , Vol. 2 , London : Charles Griffin .
  • Koziol , J.A. 1993 . Probability plots for assessing multivariate normality . The Statistician , 42 : 161 – 173 .
  • Maikovich , J. F. and Afifi , A. A. 1973 . On tests for multivariate normality . J. Amer. Statist Assoc , 68 : 176 – 179 .
  • Mardia , K. V. 1970 . Measures of multivariate skewness and kmiosis with applications . Biometrika , 57 : 519 – 530 .
  • Mardia , K. V. 1975 . Assessment of multinormality and the robustness of Hotclling's . T test Appl Statist , 24 : 163 – 171 .
  • Mudhoikar , G.S. , Mc Dennett , M. and Srivastava , D.K. 1992 . A test of p-variate normality . Biometrica , 79 : 850 – 854 .
  • Mudholkar , G.S. , Snsvata , D.K. and Lim , C.H. 1995 . Some P-variate adaption- of the Shapiro-Wilk test of normality . Commun. Statist, A-Theor Meth , 24 : 953 – 985 .
  • Naito , K. l996 . On weighting the studentized empirical characteristic function for testing normality . Commun. Statist. A-Theor. Meth , 25 : 201 – 213 .
  • Ozturk , A. and Romeu , J.L. 1992 . A new method for assessing multivariate normality with graphical applications . Commun. Statist. A-Theor. Meth , 21 : 15 – 34 .
  • Romeu , J.L. and Ozturk , A. 1993 . A comparative study of goodness-of-nt tests for multivariate normality . Journ. Muliiv. Anal , 46 : 309 – 334 .
  • Subba Rao , T. and Gabr , M.M. 1980 . A test for linearity of stationary time series . J. TimeSer. Anal , 1 : 145 – 158 .
  • Versluis , C. 1996 . Comparison of tests for bivariate normality with unknown parameters by transformation to an univariate statistic . Commun. Statist. A-Theor. Meth , 25 : 647 – 665 .
  • Zhu , L. , Wong , H.L. and Fang , K.T. 1995 . A test for multivariate normality based on sample entropv and projection pursuit . Journ. Statist. Plann. Inf , 45 : 373 – 385 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.