Characterizations of multivariate normality. I. Through independence of some statistics

It is established that a vector variable (X1, ..., Xk) has a multivariate normal distribution if for each Xi the regression on the rest is linear and the conditional distribution about the regression does not depend on the rest of the variables, provided the regression coefficients satisfy some mild conditions. The result is extended to the case where Xi themselves are vector variables.

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Year of publication:	1976
Authors:	Khatri, C. G. ; Rao, C. Radhakrishna
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 6.1976, 1, p. 81-94
Publisher:	Elsevier
Keywords:	Multivariate normal distribution characterization of multivariate normality multiple regression and independence

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

Persistent link: https://www.econbiz.de/10005093703