Multivariate normality testing plays a critical role in modern statistical analysis by evaluating whether a multivariate dataset conforms to the assumptions of a normal distribution. Such assessments ...

Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 43, No. 2 (1994), pp. 347-355 (9 pages) After some discussion of the purposes of testing multivariate normality, the paper ...

Previous research has investigated the multivariate normality of stock returns using tests based on the marginal distribution of returns. Due to the contemporaneous correlation across asset returns, ...