Characterizations of multinormality and corresponding tests of fit, including for Garch models
Henze, Norbert · Jiménez-Gamero, María Dolores · Meintanis, Simos G.
Original · EN
We provide novel characterizations of multivariate normality that incorporate both the characteristic function and the moment generating function, and we employ these results to construct a class of affine invariant, consistent and easy-to-use goodness-of-fit tests for normality. The test statistics are suitably weighted L²-statistics, and we provide their asymptotic behavior both for i.i.d. observations as well as in the context of testing that the innovation distribution of a multivariate GARCH model is Gaussian. We also study the finite-sample behavior of the new tests and compare the new criteria with alternative existing tests.
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