Estimating \(p\)-values for Mardia's coefficients of multivariate skewness and kurtosis (Q1855629)
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scientific article; zbMATH DE number 1865443
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating \(p\)-values for Mardia's coefficients of multivariate skewness and kurtosis |
scientific article; zbMATH DE number 1865443 |
Statements
Estimating \(p\)-values for Mardia's coefficients of multivariate skewness and kurtosis (English)
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6 February 2003
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This paper deals with a test of multivariate normality based on Mardia's estimates of multivariate skewness \(z_1\) and kurtosis \(z_2\). While the properly normalized statistics \(z_1\) and \(z_2\) asymptotically have a \(\chi^2\) and normal distribution, respectively, Mardia's test does not perform well in small sample cases. A Monte-Carlo method for estimation of the critical p-values for Mardia's \(z_1\) and \(z_2\) statistics is proposed and illustrated.
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multivariate normality
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kurtosis
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skewness
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p-values
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