Comparison of some multivariate normality tests: A simulation study


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ALPU Ö., Yuksek D.

INTERNATIONAL JOURNAL OF ADVANCED AND APPLIED SCIENCES, cilt.3, sa.12, ss.73-85, 2016 (ESCI) identifier

Özet

Many classical multivariate statistical methods are mostly based on the assumption of multivariate normality. Departures from normality, called non-normality, render those statistical methods inaccurate, so it is important to know if datasets are normal or non-normal. Especially in medical and life sciences, most statistical tests required the assumption of multivariate normality have been extensively used. In this study, after summarizing the properties of several most widely used multivariate normality tests, we aim to compare the power and type I error rates of these tests, which have been developed in recent years by many researchers. So, the reader will elucidate the differences and the similarities/superiorities and weaknesses of the tests in order to make the appropriate choice in their practical applications. For this purpose we carried a Monte Carlo simulation study with nominal a level, small, medium and large sample size, different dimension and multivariate distributions which includes different skewness and kurtosis. In conclusion, the results obtained from the comparative study are given. (C) 2016 The Authors. Published by IASE. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).