Testing multivariate normality by testing independence
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Abstract (arXiv)
We propose a simple multivariate normality test based on Kac-Bernstein's characterization, which can be conducted by utilising existing statistical independence tests for sums and differences of data samples. We also perform its empirical investigation, which reveals that for high-dimensional data, the proposed approach may be more efficient than the alternative ones. The accompanying code repository is provided at urlhttps://shorturl.at/rtuy5.
Key facts. No citing papers in the map yet (data through 7 Oct 2026). Builds on 2 of its 14 references that are in the map. First posted on arXiv 20 Nov 2023.
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