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Estimating p-values for Mardia’s coefficients of multivariate skewness and kurtosis

Author

Listed:
  • Douglas G. Bonett

    (Iowa State University)

  • J. Arthur Woodward

    (UCLA)

  • Robert L. Randall

    (University of Hawaii)

Abstract

Summary Mardia’s coefficients of multivariate skewness and kurtosis can be used to assess the multivariate normality assumption that must be satisfied in many multivariate statistical procedures. However, the asymptotic tests of multivariate skewness and kurtosis do not perform well in small samples. A Monte Carlo method for accurately estimating the p-value is proposed and illustrated.

Suggested Citation

  • Douglas G. Bonett & J. Arthur Woodward & Robert L. Randall, 2002. "Estimating p-values for Mardia’s coefficients of multivariate skewness and kurtosis," Computational Statistics, Springer, vol. 17(1), pages 117-122, March.
    • Handle: RePEc:spr:compst:v:17:y:2002:i:1:d:10.1007_s001800200094
    DOI: 10.1007/s001800200094
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    Cited by:

    1. Ke-Hai Yuan & Peter M. Bentler & Wei Zhang, 2005. "The Effect of Skewness and Kurtosis on Mean and Covariance Structure Analysis," Sociological Methods & Research, , vol. 34(2), pages 240-258, November.
    2. Albert Satorra & Peter Bentler, 2010. "Ensuring Positiveness of the Scaled Difference Chi-square Test Statistic," Psychometrika, Springer;The Psychometric Society, vol. 75(2), pages 243-248, June.

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