Approximation of the Power of Kurtosis Test for Multinormality

In this paper we investigate performances of the test of multinormality introduced by Malkovich and Afifi. An approximation formula of the power of the test against elliptically symmetric distributions is derived. Examples which illustrate the present results are also discussed.

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Year of publication:	1998
Authors:	Naito, Kanta
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 65.1998, 2, p. 166-180
Publisher:	Elsevier
Subject:	elliptically symmetric distribution \| Gaussian random field \| multivariate kurtosis \| power \| tail probability \| test for multinormality

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

Persistent link: https://www.econbiz.de/10005221397