A characterization of multivariate normal distribution and its application

Let X1, X2, ..., Xn be i.i.d. d-dimensional random vectors with a continuous density. Let and . In this paper we find that the distribution of Zk (or Yk) can be used for characterizing multivariate normal distribution. This characterization can be employed for testing multivariate normality in terms of the so-called transformation method.

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Year of publication:	1996
Authors:	Yang, Zhen-Hai ; Fang, Kai-Tai ; Liang, Jia-Juan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 30.1996, 4, p. 347-352
Publisher:	Elsevier
Keywords:	Characterization of multinormality Multivariate normal distribution spherical distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137899