A new test of multivariate normality by a double estimation in a characterizing PDE
share
This paper deals with testing for nondegenerate normality of a d-variate random vector X based on a random sample X_1,...,X_n of X. The rationale of the test is that the characteristic function ψ(t) = (-t^2/2) of the standard normal distribution in R^d is the only solution of the partial differential equation Δ f(t) = (t^2-d)f(t), t ∈R^d, subject to the condition f(0) = 1. By contrast with a recent approach that bases a test for multivariate normality on the difference Δψ_n(t)-(t^2-d)ψ(t), where ψ_n(t) is the empirical characteristic function of suitably scaled residuals of X_1,...,X_n, we consider a weighted L^2-statistic that employs Δψ_n(t)-(t^2-d)ψ_n(t). We derive asymptotic properties of the test under the null hypothesis and alternatives. The test is affine invariant and consistent against general alternatives, and it exhibits high power when compared with prominent competitors.
READ FULL TEXT
