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st: RE: multivariate normal distribution tests (was Wishart distribution)


From   "FEIVESON, ALAN H. (AL) (JSC-SK) (NASA)" <alan.h.feiveson@nasa.gov>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: multivariate normal distribution tests (was Wishart distribution)
Date   Thu, 15 Apr 2004 11:05:26 -0500

Stephen - 

I searched the CIS database and came up with these (last 12 years):

Al

95AmerStat 49      64-  70 J
How to use tests for univariate normality to assess multivariate normality
Looney, Stephen W.
Kurtosis;Shapiro-Wilk test;Skewness

95CommStA  24     953- 985 J
Some $p$-variate adaptations of the Shapiro-Wilk test of normality
Mudholkar, Govind S.;Srivastava, Deo Kumar;Lin, C. Thomas
Multivariate analysis;Combining tests

94ApplStat 43     347- 355 J
Tests of linearity, multivariate normality and the adequacy of linear scores
Cox, D. R.;Wermuth, Nanny
Regression

94BiomtrcJ 36     603- 610 J
Testing multivariate normality in series experiments of incomplete blocks by
generalized Shapiro-Wilk test
Wagner, Wies{\l}aw;Brzeskwiniewicz, Henryk
Wagner, Wieslaw

94CommStA  23    1031-1045 J
On Mardia's kurtosis test for multivariate normality
Henze, Norbert
Power of a test;Consistency

92JStCmpSm 42      21-  38 J
A comparison of tests for multivariate normality that are based on measures
of multivariate skewness and kurtosis
Horswell, Ronald L.;Looney, Stephen W.
-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Stephen P
Jenkins
Sent: Thursday, April 15, 2004 9:24 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: multivariate normal distribution tests (was Wishart
distribution)


> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> FEIVESON, ALAN H. (AL) (JSC-SK) (NASA)
> Sent: 15 April 2004 14:08
> To: 'statalist@hsphsun2.harvard.edu'
> Subject: st: RE: Wishart distribution
> 
> 
> Naji - I assume that all you have is S, not the original data 
> - otherwise you could test if the original data is 
> distributed as multivariate Normal. Is this the case? Al Feiveson

Al et al.,

how would you test for multivariate normality?  Do you have some
references please?
I am aware of some conditional moment tests for univariate normality,
but am not aware of multivariate tests.

thanks
Stephen
-------------------------------------------------------------
Professor Stephen P. Jenkins <stephenj@essex.ac.uk>
Institute for Social and Economic Research
University of Essex, Colchester CO4 3SQ, U.K.
Tel: +44 1206 873374.  Fax: +44 1206 873151.
http://www.iser.essex.ac.uk   

> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Naji Nassar
> (MIReS)
> Sent: Thursday, April 15, 2004 7:34 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Wishart distribution
> 
> 
> Hi all,
> 
> Some question about covariance matrix and Wishart dist.
> I've a theorical covariance matrix S.
> Suppose X RandomNormal(N,p)*CholDecomposition(S) a random 
> correlated variable.
> - What is the theoretical distribution of X covariance 
> (Wishart(S,nobs)?)
> - How can I test whether an observed covariance (from a 
> sample size) follow the theoretical distribution.
> 
> Thanks & Best Regards
> Naji
> 
> 
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