BHEP Class of Tests for Multivariate Normality: An Empirical Comparison
Asian Journal of Probability and Statistics · pp. 185–195 · Published 15 Dec 2021
10.9734/ajpas/2021/v15i430373Abstract
This paper compares the empirical power performances of eight tests for multivariate normality classified under Baringhaus-Henze-Epps-Pulley (BHEP) class of tests. The tests are compared under eight different alternative distributions. The result shows that the eight statistics have good control over type-I-error. Also, some tests are more sensitive to distributional differences with respect to their power performances than others. Also, some tests are generally more powerful than others. The generally most powerful ones are therefore recommended.
Cited by 1
Wiktor Ejsmont, Bojana Milošević, Marko Obradović · Statistical Papers · 2022
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