A new test for multivariate normality by combining extreme and non-extreme BHEP test statistics

Description:  In this talk we present a new multiple test procedure for assessing multivariate normality which combines the BHEP (Baringhaus-Henze-Epps-Pulley) tests by considering extreme and non-extreme choices of the smoothing parameter figuring in the definition of the BHEP test statistic. The results of a simulation study carried out for a wide range of alternative distributions, in order to analyse the finite sample power behaviour of the proposed test, are also discussed. Date:  2013-10-04 Start Time:   15:15 Speaker:  Carlos Tenreiro (CMUC/FCTUC) Institution:  CMUC/FCTUC Research Groups: -Probability and Statistics See more:   <Main>