M-Tests in Multivariate Models.

T. Shiraishi

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On the small sample properties of variants of Mardia’s and Srivastava’s kurtosis-based tests for multivariate normality

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The kurtosis-based tests of Mardia and Srivastava for assessing multivariate normality (MVN) are considered. The asymptotic standard normal distribution of their test statistics, under normality, is often misused for too small samples. The purpose of this paper is to suggest mean-and-variance corrected versions of the Mardia and Srivastava test statistics. Simulation studies evaluating both the true sizes and the powers of original and corrected tests against selected alternatives are...