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Multivariate extension of chi-squared

univariate normality test
a

I. R. Cardoso De Oliveira & D. F. Ferreira

Exact Sciences Department, Federal University of Lavras,

37200-000, Lavras, Brazil
Published online: 03 Mar 2009.

To cite this article: I. R. Cardoso De Oliveira & D. F. Ferreira (2010) Multivariate extension of
chi-squared univariate normality test, Journal of Statistical Computation and Simulation, 80:5,
513-526, DOI: 10.1080/00949650902731377
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Journal of Statistical Computation and Simulation

Vol. 80, No. 5, May 2010, 513526

Multivariate extension of chi-squared univariate normality test

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I.R. Cardoso de Oliveira and D.F. Ferreira*

Exact Sciences Department, Federal University of Lavras, 37200-000 Lavras, Brazil
(Received 28 March 2008; final version received 7 January 2009 )
We propose a multivariate extension of the univariate chi-squared normality test. Using a known result
for the distribution of quadratic forms in normal variables, we show that the proposed test statistic has
an approximated chi-squared distribution under the null hypothesis of multivariate normality. As in the
univariate case, the new test statistic is based on a comparison of observed and expected frequencies for
specified events in sample space. In the univariate case, these events are the standard class intervals, but in
the multivariate extension we propose these become hyper-ellipsoidal annuli in multivariate sample space.
We assess the performance of the new test using Monte Carlo simulation. Keeping the type I error rate
fixed, we show that the new test has power that compares favourably with other standard normality tests,
though no uniformly most powerful test has been found. We recommend the new test due to its competitive
advantages.
Keywords: chi-squared; multivariate; normality test

1.

Introduction

The Pearson chi-squared goodness-of-fit test for normality has a number of features that give it
both a practical and a didactic value. These include the following:
It is based on an intuitive idea that is easy to explain and simple for students to understand.
The test statistic is simple to compute and the test itself is easy to conduct.
The idea is very general and can be used to test the fit of any continuous distribution model, or
family of models.
The test clearly has at least some power against a wide and practically useful class of alternatives.
This simplicity and generality, however, come at a price. It requires the practitioner to partition
the sample space into a mutually exclusive and exhaustive set of class intervals, which logically
should be done before the data are at hand. In practice the choice of class intervals is always done
after the data are to hand, and the effect that might have on the test is ignored. Even after the data
become available, however, the choice of class intervals is still, in principle, a delicate issue with
a large degree of arbitrariness involved and there is a large amount of literature on choosing the
number of classes for any continuous distribution [1,2].
*Corresponding author. Email: danielff@ufla.br

ISSN 0094-9655 print/ISSN 1563-5163 online

2010 Taylor & Francis
DOI: 10.1080/00949650902731377
http://www.informaworld.com

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514

I.R. Cardoso de Oliveira and D.F. Ferreira

As far as we are aware, there have been no proposed extensions of the chi-squared test of
normality to the multivariate case, although nave extensions could clearly be considered. The
problem of choosing class intervals, however, becomes much more difficult as the dimension of
the sample space increases. Moreover even in the multivariate normal case, calculating expected
frequencies can become extremely difficult unless the class intervals are chosen in such a way as
to make this computation simple. We show such a choice later in this article.
Tests for the hypothesis of multivariate normality have been proposed, but these are not of
the Pearson chi-squared type. The most popular of these is an omnibus test based on skewness
and kurtosis [3,4]. This popularity probably has a lot to do with their ready availability in standard statistical software, such as R [5], and SAS [6]. This test only considers departures from
multivariate normality revealed by skewness and kurtosis, however, and failure to reject the null
hypothesis leaves open the question of whether there are departures from normality in other ways.
To emphasize this point, note that for two distributions to be the same, a necessary condition is
that all their moments should be identical, and not just the first four. Furthermore, these tests rely
only on asymptotic properties, that is, they require very large samples to achieve both reasonably
accurate control of type I error and high power.
Another test that has been used is the extension of the ShapiroWilk univariate test [7] available
in R program [5] by the function mshapiro.test of the mvnormtest library. Monte Carlo
simulation with this test, however, has shown us that its type I error rate is much larger than the
nominal rate, . Therefore, we suggest that the use of this test should be discouraged.
Another extension of the ShapiroWilk univariate normality test has been proposed by [8,9].
This test is highly regarded and has been suggested as the standard test to be used. However, it
is a complex test and not routinely available in the standard statistical analysis software. We did
not find any references of its use in specialist literature, most likely because it is so difficult to
implement.
Motivated by these considerations, in this article we propose a multivariate extension of the
Pearson chi-squared normality test that is simple to implement, and to evaluate the performance
of the new test by Monte Carlo simulation.

2.

Methodology

This section has two parts. In the first, we proposed a new multivariate normality test that extends
the univariate chi-squared test for normality. The test statistic is a quadratic form and its null
distribution is chi-squared. In the second part, the simulation is used to evaluate its performance.
2.1.

Multivariate chi-squared normality test

To fix ideas it is useful here to review the standard univariate case. Suppose the sample space is
split in k disjoint classes that cover the whole sample space. Let the observed frequency of the ith
class be Oi , and the expected frequency under the null hypothesis of normality be Ei . The test
statistic is then well known to be
X2 =

k

(Oi Ei )2
Ei
i=1

(1)

that under the null hypothesis the asymptotic distribution of the test statistic is 2 , X2 2 (k 1).
The degrees of freedom parameter is further reduced by one for each estimated parameter.

Journal of Statistical Computation and Simulation

515

We also refer to the multivariate normal distribution. If Y has a p-dimensional multivariate

normal distribution, its probability density function is given by


1
f (y) = (2)p/2 ||1/2 exp (y ) 1 (y ) ,
2

(2)

where  is the p p population covariance matrix, is the p 1 population mean. We assume

that the covariance matrix is of rank p. It is also well known that the quadratic form
Q = (Y ) 1 (Y )

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def.

(3)

2
(p)
follows a chi-squared distribution with p degrees of freedom, Q 2 (p). Furthermore, if 1
is the (1 )-quantile of the distribution, the inequality
2
(Y ) 1 (Y ) 1
(p)

(4)

defines a hyper-ellipsoidal region with probability content 100(1 )%.

2.1.1. The new test
Let Y 1 ,Y 2 , . . . ,Y n be independent p-dimensional random variates from some distribution with
mean vector and covariance matrix , then to test the null hypothesis
H0 : the sample data are from multivariate normal distribution,
we proposed a test described in the following sequence of steps.
Under the null hypothesis of normality, the quadratic form Q = (Y ) 1 (Y ) has
chi-squared distribution with = p degrees of freedom. In symbols, Q 2 (p). However, the
parameters and , in general, are unknown and are usually not specified in the null hypothesis,
as here. Thus, we use an alternative quadratic form for our test statistic.
We define the statistic by
def.
D 2 = (Y Y . ) S1 (Y Y . ),
(5)
n
n
where Y . = ( j =1 Y j )/n and S = [ j =1 (Y j Y . ) ]/(n 1) are the samples mean vector
and unbiased covariance matrix, respectively. Under the null hypothesis D 2 is asymptotically
distributed as chi-squared with p degrees of freedom.
However, with the transformation

b=

nD 2
,
(n 1)2

(6)

the equivalent statistic, b, is distributed exactly as a beta variate with parameters = p/2 and
= (n p 1)/2 [10]. This exact result allows us to propose a new test avoiding the asymptotic
chi-squared approach.
For the j th sample unit we initially calculate the quantity
bj =
for j = 1, 2, . . . , n.

n
(Y j Y . ) S1 (Y j Y . ),
(n 1)2

(7)

516

I.R. Cardoso de Oliveira and D.F. Ferreira

Next we define k equal-sized classes using the following empirical rule

k
=

n
if n 100
5 log10 n if n > 100.

(8)

It is easy to see that for given c, 0 < c < 1, the set

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{Y | b(Y) < c}
is a hyper-ellipsoid in p-dimensional space. Hence the class intervals in the sample space of
b correspond to regions between hyper-ellipsoids in the original p-dimensional sample space
of Y. The two obvious exceptions are the first class interval, which corresponds to the complete,
innermost hyper-ellipsoid, and the last class interval, which corresponds to the unbounded external
region complementary to all the others.
Let Bi be the upper (k i)/k 100% quantile of the beta distribution, then the ith class was
defined by {B | Bi1 < B Bi }, where B0 = 0 and Bk = 1, for i = 1, 2, . . . , k. The observed
frequency Oi of the ith class is the number of values, bj , which fall within the class limit. The
expected frequency is simply given by Ei = n/k, i = 1, 2, . . . , k.
The test statistic is then calculated in the usual way, i.e. using the expression (1). Under the
hypothesis of normality it has an approximate chi-squared distribution with = k 1 degrees of
2
freedom. If X2 > 1
(), the null hypothesis is rejected at significance level .
2.2.

Monte Carlo simulation

For evaluating the performance of the multivariate chi-squared (MCS) normality test, Monte
Carlo simulation was used. The simulation was done in two parts. In the first, the size of the
test was evaluated computing the type I error rate under multivariate normality. In the second,
power was evaluated simulating data from multivariate t, log-normal, contaminated normal and
uniform distributions. For purposes of comparison, an omnibus normality test based on skewness
and kurtosis and the multivariate extension of the Shapiro and Wilk [7] univariate normality test
were applied.
2.2.1.

Omnibus normality test of skewness and kurtosis

Let Y 1 ,Y 2 , . . . ,Y n be a random sample of size n from a continuous distribution. The skewness

and kurtosis coefficients are estimated by
1p =

n
n
1  3
g
n2 i=1 j =1 ij

and

2p =

1 2
g ,
n i=1 ii
n

n

where gij = (Y i Y . ) S1
n (Y j Y . ), Y . is the mean vector and the matrix Sn = [ j =1 (Y j
Y . )(Y j Y . ) ]/n is the maximum likelihood estimator of the population covariance matrix.
The omnibus test based on skewness and kurtosis coefficients, first, requires the following
statistic:
n
(9)
1 = 1p .
6
Under the null hypothesis of normality, H0 , 1 has an asymptotic chi-squared distribution with
p(p + 1)(p + 2)/6 degrees of freedom.

Journal of Statistical Computation and Simulation

517

2p p(p + 2)
2 =
,
8p(p + 2)/n

(10)

Secondly, the statistic:

under H0 , is approximately normally distributed. The statistic for the omnibus test is then
defined by

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c2 = 1 + 22

(11)

that is approximately chi-squared distributed with = p(p + 1)(p + 2)/6 + 1 degrees of freedom under H0 . The null hypothesis should be rejected if it exceeds the appropriate cutoff point,
2
i.e. if c2 > 1
().
2.2.2. The Royston multivariate normality test
Let Y 1 ,Y 2 , . . . ,Y n be a multivariate random sample of size n, where Y j Rp and if
Y(1)k , Y(2)k , . . . , Y(n)k represents an ordered univariate sample for the kth variate, the Shapiro
and Wilk [7] test statistic is given by

[ nj=1 a j Y(j )k ]2
Wk = n
,
2
j =1 (Yj k Y.k )

(12)


where Y.k = nj=1 Yj k /n is the sample mean and a j the estimator of the normalized best linear
unbiased coefficients for j = 1, 2, . . . , n.
From samples of the normal distribution Royston [9] suggested a normalizing transformation
of Wk , obtaining a standard normal score Zk , for k = 1, 2, . . . , p. Next, the statistic

k = 

2

1
(Zk )
2

k = 1, 2, . . . , p,

(13)

x
is computed, where (x) = 1/ 2 exp t 2 /2 dt denotes the standard normal cumulative
distribution function.
Finally, the test statistic was obtained by

H =

p


(14)

k=1

that is approximately 2 , where is referred to as the equivalent degrees of freedom, since k s

are not independent. Royston [8] suggests an estimate for based on the method of moments
given by
=

p
,
1 + (p 1)c

(15)

where c is an estimate for the average correlation among the k s. This correlation among the k s
is estimate using a non-linear function of the sample correlations among the variates Yk .

518

I.R. Cardoso de Oliveira and D.F. Ferreira

2.2.3. Type I error rates

To evaluate the type I error rate, p-dimensional multivariate normal samples were generated with
mean vector = 0 and covariance matrix  with an equicorrelated structure given by

1
1

= 2
(16)
 = 2 . . .
. . ...
.. ..

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without loss of generality, since the statistic D 2 is invariant under non-singular affine transformations. Specifically, we have chosen for our simulations 2 = 10 and = 0.5.
Sample sizes of n = 10, 20, 50, 100 and 200 and dimension p = 2, 4, 6, 10 and 20 were used. It
was necessary to assume the restriction p < n to generate multivariate normal samples allowing
full-rank estimates of the covariance matrix. Simulated random samples Y 1 ,Y 2 , . . . ,Y n were then
generated.
Let the spectral decomposition of  be
 = PP  ,
where P is an orthogonal matrix of eigenvectors and  is a diagonal matrix of eigenvalues. The
square root matrix was then calculated by
1/2 = P1/2 P  .
See for example [11]. If Z = [Z1 , . . . , Zp ] is a vector of generated standard normal pseudo-random
variables, then we used the standard formula
Y j = 1/2 Zj +

(17)

to generate multivariate normal observations with the required mean and covariance matrix,
namely E(Y j ) = and
Cov(Y j ) = 1/2 (1/2 ) = .
This procedure was repeated n times simulating the sample. The MCS normality test, the
skewness and kurtosis omnibus test and the Royston [9] multivariate extension of the Shapiro and
Wilk [7] univariate normality test were then applied to each sample using a nominal significance
level .
The Monte Carlo simulation process was repeated 2000 times and the above tests were applied
in each sample. The nominal significance levels, , were chosen to be 1% and 5%. The type I
error rates were calculated for each test as the proportion of times that the null hypothesis was
(falsely) rejected, and this was compared with the nominal significance level.
Since these type I error rates were estimated using Monte Carlo simulations, they are not free
of error. Thus, exact binomial tests considering a nominal significance level of 1% for the hypothesis H0 : = 5% versus H1 : = 5% and H0 : = 1% versus H1 : = 1% were applied for
the type I error rates. If the null hypothesis was rejected and the observed type I error rates were
considered significantly (p < 0.01) inferior to the nominal level, the test would be considered
conservative; if the observed type I error rates were considered significantly (p < 0.01) superior
to the nominal level, the test would be considered liberal; and if the observed type I error rates
were not significantly (p > 0.01) different from the nominal level, the test would be considered accurate. If y represents the number of null hypothesis rejected in N = 2000 Monte Carlo

Journal of Statistical Computation and Simulation

519

simulations for the nominal significance level , then we will obtain the test statistic, using the
relationship between the F and the binomial distribution, with probability of success p = , by



y+1
1
F =
,
N y

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that, under the null hypothesis, follows a F distribution with 1 = 2(N y) and 2 = 2(y + 1)
degrees of freedom. If F F0.005 or F F0.995 , the null hypothesis should be rejected at the 1%
significance level, where F0.005 and F0.995 are quantiles from the F distribution with 1 and 2
degrees of freedom.
2.2.4.

Power

Samples of size n were simulated to evaluate the power of the proposed test considering pdimensional variates from the multivariates t, log-normal, contaminated normal and uniform
distributions. The same sample size n, number of variates p and number of Monte Carlo replications used previously for evaluating the type I error rates were considered for calculating
power.
Realizations of the multivariate t-distribution random vectors were generated in the following way
Zj
Xj =
(18)
and Y j = 1/2 X j + ,
U/
where Zj Np (0, I) and U 2 with degrees of freedom were distributed independently. The
parameter was settled to 1, for obtaining a circumstance quite different from the multivariate
normal distribution and, also, it was settled to 30, for obtaining a circumstance that the multivariate
t-distribution resembles considerably to the multivariate normal distribution.
A j th realization of a multivariate log-normal random vector (j = 1, 2, . . . , n) was obtained by
Y j = [exp{Xj 1 }, exp{Xj 2 }, . . . , exp{Xjp }] ,

(19)

where X j = [Xj 1 , Xj 2 , . . . , Xjp ] Np (, ).

For generating the contaminated normal random vectors the following density was considered


1
fY (y) = (2)p/2 |1 |1/2 exp (y 1 ) 1
(y

)
1
1
2


1
p/2
1/2
 1
+ (1 )(2)
|2 |
exp (y 2 ) 2 (y 2 ) ,
(20)
2
where 0 1, 1 and 2 were covariance positive definite matrices and 1 and 2 were pdimensional mean vectors. To accomplish the simulations the following values were considered:
= 0.30, 1 = 0, 2 = 10J, 1 = , 2 = 10, where J is a (p 1) vector of 1s and the matrix
was defined in Equation (16) with = 0.5.
Multivariate uniform random vectors were generated in the following way. Simulate X from
Np (0, ), where is a correlation matrix obtained from Equation (16) considering 2 = 1. For
the ith component from X take Yi = (Xi ), where () is the standard normal cumulative
distribution function and i = 1, 2, . . . , p. The j th random vector Y j = [Yj 1 , Yj 2 , . . . , Yjp ] is
multivariate uniform distributed. This procedure was repeated n times simulating the sample.
Power was measured calculating the proportion of times in the 2000 Monte Carlo simulations
that the false null hypothesis of normality was rejected, considering the nominal significance
levels of 1% and 5%.

520

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3.

I.R. Cardoso de Oliveira and D.F. Ferreira

Results and discussion

This section has two parts. In the first, the type I error rates of the MCS test, the omnibus test
based on multivariate skewness and kurtosis (MSK) and the multivariate Royston [9] extension of
the Shapiro and Wilk [7] univariate normality test (MR92) are assessed. In the second, the power
of the tests is compared for different non-normal multivariate distributions.
It should be pointed out afterwards that grouping is just one possibility, which offers a practical
way of extending a Pearson chi-squared test of fit to the multivariate normal case. It should be
emphasized that this procedure is not quite the classical Pearson test of fit, since this is not standard
grouping. This is quantile grouping based on the distribution of beta variables, although the loss
of power with such grouping is low and in some cases, the test is more powerful than the MSK
and MR92, justifying its use.
A current review of the literature has revealed that at least 50 procedures for testing multivariate
normality exist. When compared with the amount of work done in developing these tests, relatively
little work has been done in evaluating the quality and power of the procedures [12]. Farrell
et al. [13] discuss the challenges associated with generating multivariate data for studying the
empirical size and power of some recently proposed tests for multivariate normality and for
comparing them with the existing proposals that performed best in previously published studies.

3.1. Type I error

The size is a fundamental characteristic of the performance of a test. The test should have real size
equal to the nominal size, , if it is to be considered accurate. Tests that have a real size less than
the nominal are considered conservative and those that present type I error rates greater than the
nominal level are liberal. In Table 1 type I error rates obtained in 2000 Monte Carlo simulations
are presented for the MCS, MSK and MR92 tests.
The MCS and MSK tests have type I error rates that are either not significantly different from
the nominal rate or significantly lower than it (p < 0.01). Thus, some times they were considered
accurate and other times conservative, depending on the sample sizes and the number of variates.
Liberal performance was not observed in any case for the MCS test. The MR92 test is also either
not significantly different from the 5% nominal rate or significantly lower than it (P < 0.01).
These were the cases for n = 50 with p = 2 and for n = 200 with p = 100. Considering = 1%,
the empirical type I error rates were considered not significantly different from the nominal level
in almost all circumstances, except for n = 50 with p = 48, n = 100 with p = 50 and 98 and
n = 200 with p = 50, where the MR92 test was considered liberal. Although these liberal results,
the empirical type I error rates were close to the nominal significance level of 1%. Roystons [9] test
produced results ranging between 3.20% and 5.15% over all combinations of n and p for = 5%.
These results are in agreement with those obtained by [13], considering the same combinations
of n and p.
To verify if the tests would be able to maintain the empirical type I error rates close to the nominal
significance levels, we displayed the histogram of their p-values under the null hypothesis. For
exact tests, under null hypothesis, the p-values should have a uniform distribution on the (0, 1)
interval. Those plots for the MCS, MSK and MR92 tests are presented in Figure 1, considering
n = 50 and p = 25. The distribution is quite uniform for the MR92 test and it is slightly leftskewed for the MCS test. For the MSK test the distribution is J-shaped, and the test would not
be able to maintain the nominal significance level. This behaviour of the p-values distributions
explains the low empirical significance levels of the MSK in Table 1, since almost all the others
plots (not showed here) were left-skewed. Results ranging between uniform and left-skewed
distributions were found for the MCS test, indicating it is less conservative than the MSK test.

Journal of Statistical Computation and Simulation

521

Table 1. Type I error rates for the new test (MCS), the omnibus test of skewness and kurtosis (MSK) and the Royston [9]
multivariate extension of the Shapiro and Wilk [7] univariate test (MR92) as a function of n and p for = 1% and 5%.
= 1%
n
10

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20

50

100

200

= 5%

MCS

MSK

MR92

MCS

MSK

MR92

2
4
6
8
2
5
10
18
2
10
25
48
2
10
50
98
2
10
50
100

0.0040
0.0065
0.0020
0.0015
0.0045
0.0030
0.0015
0.0035
0.0080
0.0070
0.0025
0.0055
0.0040
0.0030
0.0035
0.0060
0.0075
0.0060
0.0040
0.0025

0.0000
0.0000
0.0000
0.0000
0.0065
0.0010
0.0000
0.0000
0.0160
0.0065
0.0000
0.0000
0.0150
0.0070
0.0000
0.0000
0.0135
0.0115
0.0000
0.0000

0.0080
0.0095
0.0115
0.0075
0.0095
0.0100
0.0070
0.0090
0.0070
0.0080
0.0115
0.0160
0.0110
0.0110
0.0175
0.0215
0.0095
0.0090
0.0200
0.0105

0.0215
0.0225
0.0215
0.0195
0.0215
0.0180
0.0195
0.0185
0.0275
0.0320
0.0270
0.0260
0.0270
0.0240
0.0260
0.0305
0.0370
0.0330
0.0250
0.0365

0.0005
0.0000
0.0000
0.0000
0.0215
0.0090
0.0000
0.0000
0.0375
0.0200
0.0000
0.0000
0.0495
0.0285
0.0000
0.0000
0.0555
0.0480
0.0010
0.0000

0.0410
0.0485
0.0440
0.0390
0.0425
0.0435
0.0410
0.0390
0.0375
0.0460
0.0460
0.0440
0.0515
0.0410
0.0495
0.0405
0.0470
0.0440
0.0515
0.0320

MCS, multivariate chi-squared

significantly different (p < 0.01) from the nominal significance level.

3.2. Power
The empirical power estimates of the MCS, MSK and MR92 tests are presented in Table 2 using
as an alternative the multivariate t-distribution with = 1 degree of freedom. In small samples
(n 20) the MCS and MSK tests have no satisfactory performance, because the estimates of
power were low (under 30%). This result was expected beforehand because of the asymptotic
nature of these tests. For n ranging from 10 to 50 and for small values of p, relative to n,
the MSK test was superior to MSC test. The opposite results occur as the number of variates
p becomes closer to the sample size n. The MSK test, in this extreme condition, presented
null values of power, for 1% and 5% nominal significance levels. The MR92 test produced the
best results regarding the power estimates for small sample size (n 20) and for values of p
close to n.
For sample sizes n equal or greater than 50, the empirical power estimates were almost always
the same for the three tests and equal to 100%, for = 1% or 5% with p n/2. We observe that
when p is very close to n, the superiority of the new test over MSK is outstanding. The convergence
of the distribution of the MCS statistic to the chi-squared distribution can be evaluated indirectly
by these results. Thus, it can be verified that sample sizes equal to or greater than 50 should be
enough for a good approximation to the chi-squared distribution for the test statistic; even though
for small sample sizes equal to or greater than 20, the power was relatively high. It is important
to emphasize that the multivariate t-distribution with = 1 degree of freedom can be considered
very different from the multivariate normal. It is also appropriate to highlight the fact of the power
decreases, in general, when the value of p increases, in both tests (which is hardly surprising).
For the multivariate t-distribution with = 1 degree of freedom (Cauchy) the results of
the estimates of the empirical power for MR92 test are in rather sharp agreement with those
obtained by [13].

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522

I.R. Cardoso de Oliveira and D.F. Ferreira

Figure 1. Histogram of the p-values for n = 50 and p = 25 under the null hypothesis for the (a) MSC, (b) MSK and
(c) MR92 tests.

In Table 3 the power estimates of the tests against an alternative of the multivariate t-distribution
with = 30 degrees of freedom are presented. The t-distribution with = 30 is very close to the
multivariate normal distribution. Thus the powers of all three tests were almost always lower to
those obtained for multivariate t-distribution with = 1 degree of freedom (Table 2). The MCS
and MSK tests relative response patterns were similar in both circumstances. There was, in this
case, a tendency for the powers to increase as the number of variates p increases, except for p
close to n in some tests. For large p and n values, the MCS test produced the best power results,
except for p close to n. None of the tests performed well in detecting the multivariate t-distribution
with = 30 degrees of freedom for n 50. Most estimates of power were under 20% for both
nominal significance levels.
In Tables 4 and 5 the power estimates are presented for the multivariate log-normal and contaminated normal distributions alternatives, respectively, in terms of n, p and . Due to numerical
problems related to singularities on the covariance matrix the p-values close to n in Table 4 were
considered different from the other circumstances. Although the power was larger for the lognormal alternative case, the tests had similar performance to those observed in the multivariate
t-distribution with = 1.
The performance of the MCS test is similar to the MSK test in very large samples. In the
particular case where the number of variates, p, is very close to the sample size n, there were

Journal of Statistical Computation and Simulation

523

Table 2. Power of the new test (MCS), the omnibus test of skewness and kurtosis (MSK) and the Royston [9] multivariate
extension of the Shapiro and Wilk [7] univariate test (MR92) as a function of n and p, for = 1% and 5% considering
the t-multivariate distribution with = 1 degree of freedom.
= 1%
n
10

Downloaded by [University of Hong Kong Libraries] at 06:08 06 August 2013

20

50

100

200

= 5%

MCS

MSK

MR92

MCS

MSK

MR92

2
4
6
8
2
5
10
18
2
10
25
48
2
10
50
98
2
10
50
100

0.0755
0.0000
0.0000
0.0165
0.6665
0.5705
0.3000
0.1015
0.9990
1.0000
1.0000
0.5465
1.0000
1.0000
1.0000
0.9110
1.0000
1.0000
1.0000
1.0000

0.2830
0.0320
0.0000
0.0000
0.9180
0.9890
0.9290
0.0000
1.0000
1.0000
1.0000
0.0000
1.0000
1.0000
1.0000
0.0000
1.0000
1.0000
1.0000
1.0000

0.5840
0.7220
0.7595
0.7965
0.9075
0.9720
0.9850
0.9935
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000

0.2820
0.0015
0.0030
0.1105
0.7965
0.7765
0.5710
0.2565
1.0000
1.0000
1.0000
0.7320
1.0000
1.0000
1.0000
0.9640
1.0000
1.0000
1.0000
1.0000

0.5185
0.1555
0.0000
0.0000
0.9450
0.9930
0.9750
0.0000
1.0000
1.0000
1.0000
0.0000
1.0000
1.0000
1.0000
0.0000
1.0000
1.0000
1.0000
1.0000

0.7000
0.8005
0.8380
0.8575
0.9485
0.9845
0.9940
0.9965
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000

MCS, multivariate chi-squared.

Table 3. Power of the new test (MCS), the omnibus test of skewness and kurtosis (MSK) and the Royston [9] multivariate
extension of the Shapiro and Wilk [7] univariate test (MR92) as a function of n and p, for = 1% and 5% considering
the t-multivariate distribution with = 30 degrees of freedom.
= 1%
n
10

20

50

100

200

= 5%

MCS

MSK

MR92

MCS

MSK

MR92

2
4
6
8
2
5
10
18
2
10
25
48
2
10
50
98
2
10
50
100

0.0010
0.0050
0.0035
0.0025
0.0030
0.0015
0.0005
0.0040
0.0055
0.0115
0.0205
0.0035
0.0075
0.0300
0.4085
0.0070
0.0075
0.1110
0.9970
1.0000

0.0010
0.0000
0.0000
0.0000
0.0190
0.0050
0.0000
0.0000
0.0500
0.0825
0.0015
0.0000
0.0590
0.2585
0.2625
0.0000
0.1060
0.4710
1.0000
1.0000

0.0105
0.0075
0.0160
0.0100
0.0090
0.0245
0.0160
0.0240
0.0215
0.0435
0.0690
0.0845
0.0380
0.0570
0.1140
0.1505
0.0510
0.0960
0.2030
0.2465

0.0145
0.0140
0.0205
0.0235
0.0215
0.0150
0.0135
0.0205
0.0260
0.0490
0.0835
0.0305
0.0370
0.1090
0.6395
0.0390
0.0410
0.2685
0.9995
1.0000

0.0025
0.0000
0.0000
0.0000
0.0475
0.0185
0.0000
0.0000
0.0995
0.1675
0.0135
0.0000
0.1255
0.4065
0.4395
0.0000
0.1975
0.6395
1.0000
1.0000

0.0525
0.0475
0.0560
0.0545
0.0555
0.0770
0.0620
0.0665
0.0765
0.1080
0.1400
0.1630
0.0985
0.1455
0.4200
0.2535
0.1295
0.1900
0.3515
0.3990

MCS, multivariate chi-squared.

524

I.R. Cardoso de Oliveira and D.F. Ferreira

Table 4. Power of the new test (MCS), the omnibus test of skewness and kurtosis (MSK) and the Royston [9] multivariate
extension of the Shapiro and Wilk [7] univariate test (MR92) as a function of n and p, for = 1% and 5% considering
the multivariate log-normal distribution.
= 1%
n
10

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20

50

100

200

= 5%

MCS

MSK

MR92

MCS

MSK

MR92

2
4
6
8
2
5
10
17
2
10
25
47
2
10
50
94
2
10
50
100

0.4620
0.0000
0.0000
0.2540
0.9755
0.9740
0.8365
0.9515
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000

0.7275
0.4495
0.0000
0.0000
0.9990
1.0000
1.0000
0.0000
1.0000
1.0000
1.0000
0.0000
1.0000
1.0000
1.0000
0.0000
1.0000
1.0000
1.0000
1.0000

0.9980
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000

0.8090
0.0035
0.0000
0.5830
0.9855
0.9935
0.9540
0.9895
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000

0.8720
0.7655
0.0000
0.0000
1.0000
1.0000
1.0000
0.0000
1.0000
1.0000
1.0000
0.0000
1.0000
1.0000
1.0000
0.0000
1.0000
1.0000
1.0000
1.0000

1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000

MCS, multivariate chi-squared.

Table 5. Power of the new test (MCS), the omnibus test of skewness and kurtosis (MSK) and the Royston [9] multivariate
extension of the Shapiro and Wilk [7] univariate test (MR92) as a function of n and p, for = 1% and 5% considering
the multivariate contaminated normal distribution.
= 1%
n
10

20

50

100

200

= 5%

MCS

MSK

MR92

MCS

MSK

MR92

2
4
6
8
2
5
10
18
2
10
25
48
2
10
50
98
2
10
50
100

0.0260
0.0045
0.0035
0.0140
0.0550
0.0390
0.0910
0.0330
0.2920
0.7775
0.9775
0.1530
0.6370
0.9885
1.0000
0.4265
0.9560
1.0000
1.0000
1.0000

0.0000
0.0005
0.0000
0.0000
0.0215
0.1080
0.1450
0.0000
0.1505
0.8765
0.9955
0.0000
0.8150
0.9985
1.0000
0.0000
0.9990
1.0000
1.0000
1.0000

0.0660
0.0750
0.0745
0.0805
0.2830
0.4610
0.5510
0.6365
0.9620
0.9990
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000

0.0890
0.0210
0.0120
0.0715
0.1465
0.1065
0.2545
0.1205
0.4855
0.8780
0.9915
0.3420
0.8100
0.9955
1.0000
0.6535
0.9895
1.0000
1.0000
1.0000

0.0050
0.0025
0.0000
0.0000
0.0515
0.1950
0.2570
0.0000
0.5080
0.9370
0.9965
0.0000
0.9565
1.0000
1.0000
0.0000
0.9995
1.0000
1.0000
1.0000

0.2740
0.2985
0.3480
0.3480
0.6805
0.8020
0.8615
0.8860
0.9945
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000

MCS, multivariate chi-squared.

Journal of Statistical Computation and Simulation

525

Table 6. Power of the new test (MCS), the omnibus test of skewness and kurtosis (MSK) and the Royston [9] multivariate
extension of the Shapiro and Wilk [7] univariate test (MR92) as a function of n and p, for = 1% and 5% considering
the multivariate uniform distribution.
= 1%
n
10

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20

50

100

200

= 5%

MCS

MSK

MR92

MCS

MSK

MR92

2
4
6
8
2
5
10
18
2
10
25
48
2
10
50
98
2
10
50
100

0.0150
0.0095
0.0005
0.0030
0.0410
0.0130
0.0050
0.0025
0.2690
0.0120
0.0240
0.0105
0.7200
0.0210
0.5000
0.0135
0.9915
0.0960
0.9825
1.0000

0.0000
0.0000
0.0000
0.0000
0.0005
0.0005
0.0000
0.0000
0.0000
0.0030
0.0110
0.0000
0.0050
0.0010
0.5570
0.0000
0.6585
0.0020
0.9960
1.0000

0.0150
0.0255
0.0300
0.0300
0.0715
0.2045
0.4290
0.6515
0.6840
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000

0.0645
0.0420
0.0275
0.0240
0.1195
0.0580
0.0210
0.0225
0.4825
0.0450
0.0950
0.0410
0.8925
0.0875
0.6780
0.0610
0.9985
0.2505
0.9945
1.0000

0.0005
0.0000
0.0000
0.0000
0.0025
0.0010
0.0000
0.0000
0.0025
0.0070
0.0295
0.0000
0.1705
0.0070
0.6865
0.0000
0.9560
0.0085
0.9985
1.0000

0.0935
0.1295
0.1355
0.1570
0.2940
0.5135
0.7365
0.8790
0.9220
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000

MCS, multivariate chi-squared.

circumstances that the MCS out-performed the MSK test remarkably, as for n = 50 with p = 47
and n = 20 with p = 17 in the case of a multivariate log-normal alternative and for n = 100 with
p = 98 in the case of a multivariate contaminated normal alternative. The MR92 test presented
high power for log-normal over all combinations of n and p. Similar findings were observed for
the multivariate contaminated normal distribution for n 50.
The estimates of the empirical power of all three tests were evaluated for the multivariate uniform
distribution (Table 6). The MR92 test had the best performance in all cases. The estimates of the
power for the MCS test were lower than those observed for MSK test, except for p = 2 regardless
of the sample sizes considered.
The power of the MSK test is consistently higher than that of the MCS test in almost all cases
and superior to the MR92 test for the multivariate t-distribution with = 30 degrees of freedom
over almost all cases of large n and p. In this particular case the MCS test is also superior to the
MR92 test and surpasses, in some circumstances, the MSK test, which occurs for values of p
very close to n. Thus, the proposed new test is recommended to be used in real cases due to this
competitive advantage, when the purpose is to test the multivariate normality of a sample data.

4.

Conclusions

The results of this article lead us to the following conclusions:

A practically useful extension of the Pearson chi-squared test for normality to the multivariate
normal case has been successfully developed.
The MCS test allowed for finer control of the type I error in all simulated circumstances.

526

I.R. Cardoso de Oliveira and D.F. Ferreira

Downloaded by [University of Hong Kong Libraries] at 06:08 06 August 2013

The power performance of the MCS test improves with the increase of the sample sizes and
can be considered satisfactory for n 50.
In the circumstances where the number of variates, p, is close to the sample size n, the power
of the MCS test is consistently higher than that of the omnibus test of skewness and kurtosis.
For distributions close to a multivariate normal the MCS test performed better than the MR92
test.
There was not a uniformly superior test in all cases. The MCS test is recommended for
circumstances were p is close to n.
Acknowledgements
The authors thank Dr. William Norman Venables for his valuable contribution with the English presentation. I.R. Cardoso
de Oliveira was supported by CNPq and D.F. Ferreira was supported by PIBIC/CNPq.

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