Testing for multivariate normality of disturbances in the multivariate linear regression model

DOI

10.2991/isrme-15.2015.90How to use a DOI?

Keywords

Linear model; Disturbances; Residuals; Multivariate normal distribution; Goodness-of-fit

Abstract

We suggest a characteristic test for testing the multivariate normal distribution of the disturbances in the multivariate linear regression model(MLRM). The test is based on the goodness-of-fit test for uniformity on the surface of a unit sphere. The asymptotic null distribution of the transformed residuals from the MLRM is obtained. An algorithm is given to approximate the critical values of the test by Monte Carlo simulation. The test possesses symmetry and can be easily computed for arbitrary dimension of the disturbance vectors.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yan Su
AU  - Shao-Yue Kang
PY  - 2015/04
DA  - 2015/04
TI  - Testing for multivariate normality of disturbances in the multivariate linear regression model
BT  - Proceedings of the 2015 International Conference on Intelligent Systems Research and Mechatronics Engineering
PB  - Atlantis Press
SP  - 420
EP  - 425
SN  - 1951-6851
UR  - https://doi.org/10.2991/isrme-15.2015.90
DO  - 10.2991/isrme-15.2015.90
ID  - Su2015/04
ER  -