Mardia''s multivariate normality test, Advanced Statistics

Mardia's multivariate normality test is a test that a set of the multivariate data arise from the multivariate normal distribution against departures due to the kurtosis. The test is based on the below stated multivariate kurtosis measure

1131_Mardia’s multivariate normality test.png 
here q is the number of variables, n is sample size, xi is the vector of observations for the subject i, _x is the mean vector of observations, and S is the sample variance-covariance n matrix. For the large samples under the hypothesis or assumptions that the data arise from the multivariate normal distribution, b2,q, has a normal distribution with the mean q(qþ2) and variance 8qðq þ 2Þ=n.

Posted Date: 7/30/2012 2:59:54 AM | Location : United States

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