A Monte Carlo comparison of Jarque-Bera type tests and Henze-Zirkler test of multivariate normality

作者：Hanusz Zofia^*; Enomoto Rie; Seo Takashi; Koizumi Kazuyuki

来源：Communications in Statistics - Simulation and Computation, 2018, 47(5): 1439-1452.

DOI：10.1080/03610918.2017.1315771

• Jarque-Bera's type test
• Multivariate normality test
• Multivariate skewness
• Multivariate kurtosis

In the paper, tests for multivariate normality (MVN) of Jarque-Bera type, based on skewness and kurtosis, have been considered. Tests proposed by Mardia and Srivastava, and the combined tests based on skewness and kurtosis defined by Jarque and Bera have been taken into account. In the Monte Carlo simulations, for each combination of p = 2, 3, 4, 5 number of traits and n = 10(5)50(10)100 sample sizes 10,000 runs have been done to calculate empirical Type I errors of tests under consideration, and empirical power against different alternative distributions. Simulation results have been compared to the Henze-Zirkler's test. It should be stressed that no test yet proposed is uniformly better than all the others in every combination of conditions examined.

• 出版日期2018