A comparative study of goodness-of-fit tests for multivariate normality

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Abstract

A Monte Carlo power study of 10 multivariate normality goodness-of-fit tests is presented. First, multivariate goodness-of-fit methods and non-normal alternatives are classified according to their characteristics. Then, a measurement tool is defined, validated, and used to assess the performance of the methods, which are then ranked by type of alternative they best detect. Finally, Monte Carlo-derived empirical critical values for the 8 procedures, valid when samples are too small to invoke asymptotic theory, are provided. © 1993 Academic Press, Inc.

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Romeu, J. L., & Ozturk, A. (1993). A comparative study of goodness-of-fit tests for multivariate normality. Journal of Multivariate Analysis, 46(2), 309–334. https://doi.org/10.1006/jmva.1993.1063

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