A normality criterion for random vectors based on independence

A sufficient condition for a random vector to be Gaussian is formulated by applying Skitovich's theorem to the principal component analysis of the random vector. An application to a standard Brownian motion simulated in discrete times, and a simulation study on non-normal data are also included.

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Year of publication:	1997
Authors:	Valderrama, M. J. ; Aguilera, A. M.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 33.1997, 2, p. 159-165
Publisher:	Elsevier
Keywords:	Principal component analysis Brownian motion Gaussian random vector Independence

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

Persistent link: https://www.econbiz.de/10005137787