A test for multivariate skew-normality based on its canonical form

A test to assess if a sample comes from a multivariate skew-normal distribution is proposed. The test statistic is obtained from the canonical form of the multivariate skew-normal distribution and its null distribution is derived. The power of the proposed test is evaluated through Monte Carlo simulations for different conveniently chosen alternatives. Finally, three numerical examples are presented for the purpose of illustration.

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Year of publication:	2014
Authors:	Balakrishnan, N. ; Capitanio, A. ; Scarpa, B.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 128.2014, C, p. 19-32
Publisher:	Elsevier
Subject:	Multivariate skewness \| Skew-normal distribution \| Canonical form \| Order statistics

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

Persistent link: https://www.econbiz.de/10010776647