Testing multinormality based on low-dimensional projection

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	Testing multinormality based on low-dimensional projection
	Liang, JJ ; Li, RZ ; Fang, HB ; Fang, KT
	2000-04-15
发表期刊	JOURNAL OF STATISTICAL PLANNING AND INFERENCE
ISSN	0378-3758
卷号	86 期号:1 页码:129-141
摘要	A method based on properties of left-spherical matrix distributions and affine invariant statistics is employed to construct projection tests for multivariate normality. The projection tests are indirectly dependent on the dimension of raw data. As a result, the projection tests can be performed for arbitrary dimension d and sample size n even if n < d in high-dimensional case as soon as the projection dimension is suitably chosen. By Monte Carlo simulation, we show that the projection tests significantly improve the power of existing tests for multinormality in the case of high dimension with a small sample size. Analysis on a practical example shows that the projection tests are useful complements to existing tests for multinormality. (C) 2000 Elsevier Science B.V. All rights reserved.
关键词	left-spherical matrix distributions Mardia's skewness and kurtosis projection tests testing multinormality
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000085999800009
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/14964
专题	中国科学院数学与系统科学研究院
作者单位	1.Hong Kong Baptist Univ, Dept Math, Hong Kong, Hong Kong, Peoples R China 2.Chinese Acad Sci, Inst Appl Math, Beijing, Peoples R China 3.Univ N Carolina, Dept Stat, Chapel Hill, NC 27599 USA
推荐引用方式 GB/T 7714	Liang, JJ,Li, RZ,Fang, HB,et al. Testing multinormality based on low-dimensional projection[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE,2000,86(1):129-141.
APA	Liang, JJ,Li, RZ,Fang, HB,&Fang, KT.(2000).Testing multinormality based on low-dimensional projection.JOURNAL OF STATISTICAL PLANNING AND INFERENCE,86(1),129-141.
MLA	Liang, JJ,et al."Testing multinormality based on low-dimensional projection".JOURNAL OF STATISTICAL PLANNING AND INFERENCE 86.1(2000):129-141.