Mardia's Test
Mardia's test is a statistical test for multivariate normality.
Description
Mardia's test is derived from the calculations of multivariate skewness and kurtosis.
Usage
Test for Multivariate Normality
The null hypothesis is that a sample has a multivariate normal distribution. Suppose that there are n observations and k variables.
It follows that the sample skewness, scaled by n/6, has a chi-squared distribution with k(k + 1)(k + 2)/6 degrees of freedom.
Furthermore, it follows that the following statistic based on sample kurtosis is normally distributed:
If either test statistic is less than the critical level, the null hypothesis is rejected.