Journal
STATISTICAL PAPERS
Volume 43, Issue 4, Pages 467-506Publisher
SPRINGER
DOI: 10.1007/s00362-002-0119-6
Keywords
tests for multivariate normality; affine invariance; consistency; multivariate skewness; multivariate kurtosis; Roy's union-intersection principle; empirical characteristic function; angles and radii; projection pursuit; locally best invariant test
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This paper gives a synopsis on affine invariant tests of the hypothesis that the unknown distribution of a d-dimensional random vector X is some nondegenerate d-variate normal distribution, on the basis of i.i.d. copies X(1),...,X(n) of X. Particular emphasis is given to progress that has been achieved during the last decade. Furthermore, we stress the typical diagnostic pitfall connected with purportedly 'directed' procedures, such as tests based on measures of multivariate skewness.
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