多元正态分布的VDR条件拟合优度检验

VDR Conditional Tests for Multivariate Normality

  • 摘要: 提出多元正态性\chi^2检验统计量. 多元正态分布转换样本\mathbfY_d=R\mathbfV_d服从Pearson II型分布, 证明了R^2服从贝塔分布. 基于贝塔分布和单位球均匀分布, 得到多元正态性检验统计量\chi^2的渐近卡方分布. 功效模拟显示, \chi^2统计量优于已有主要多元正态性检验统计量. 做iris数据多元正态性的拟合优度检验.

     

    Abstract: The \chi^2 conditional test for multivariate normality is suggested. The transformed sample \mathbfY_d=R\mathbfV_d from a d-variate normal distribution has a symmetric multivariate Pearson type II distribution, the result that R^2 has a beta distribution is proved, the asymptotic Chi squared distribution of the statistic \chi^2 based on beta distribution and sphere uniform distribution is obtained. The Monte Carlo power study for multivariate normality suggests that our test is a powerful competitor to existing tests. The goodness-of-fit for multivariate normality of iris data is analyzed.

     

/

返回文章
返回