Vol: 40 Page: 95

Authors:
Zofia Hanusz
Joanna Tarasińska

Title:
 Simulation study on multivariate normality based on Shapiro-Wilk statistic

Language: English

Keywords:
test for multivariate normality
Shapiro-Wilk W statistic
Type I error
power of the test
Srivastava and Hui tests

Summary:
The paper concerns three tests for multivariate normality based on the Shapiro-Wilk W statistic for the principal components of a covariance matrix. Two of them were proposed by Srivastava and Hui (1987), the third was introduced by Hanusz and Tarasińska (2008b). The type I errors of these tests at significance levels 0.1, 0.05 and 0.01 are evaluated both for the sample and residuals in the two data groups. The powers of the tests under consideration against chosen alternative distributions are also presented in both the sample and residual cases.

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