Date Available
12-14-2011
Year of Publication
2006
Document Type
Dissertation
College
Arts and Sciences
Department
Statistics
First Advisor
Constance L. Wood
Abstract
Goodness-of-fit and correlation tests are considered for dependent univariate data that arises when multivariate data is projected to the real line with a data-suggested linear transformation. Specifically, tests for multivariate normality are investigated. Let { } i Y be a sequence of independent k-variate normal random vectors, and let 0 d be a fixed linear transform from Rk to R . For a sequence of linear transforms { ( )} 1 , , n d Y Y converging almost surely to 0 d , the weak convergence of the empirical process of the standardized projections from d to a tight Gaussian process is established. This tight Gaussian process is identical to that which arises in the univariate case where the mean and standard deviation are estimated by the sample mean and sample standard deviation (Wood, 1975). The tight Gaussian process determines the limiting null distribution of E.D.F. goodness-of-fit statistics applied to the process of the projections. A class of tests for multivariate normality, which are based on the Shapiro-Wilk statistic and the related correlation statistics applied to the dependent univariate data that arises with a data-suggested linear transformation, is also considered. The asymptotic properties for these statistics are established. In both cases, the statistics based on random linear transformations are shown to be asymptotically equivalent to the statistics using the fixed linear transformation. The statistics based on the fixed linear transformation have same critical points as the corresponding tests of univariate normality; this allows an easy implementation of these tests for multivariate normality. Of particular interest are two classes of transforms that have been previously considered for testing multivariate normality and are special cases of the projections considered here. The first transformation, originally considered by Wood (1981), is based on a symmetric decomposition of the inverse sample covariance matrix. The asymptotic properties of these transformed empirical processes were fully developed using classical results. The second class of transforms is the principal components that arise in principal component analysis. Peterson and Stromberg (1998) suggested using these transforms with the univariate Shapiro-Wilk statistic. Using these suggested projections, the limiting distribution of the E.D.F. goodness-of-fit and correlation statistics are developed.
Recommended Citation
Saunders, Christopher Paul, "EMPIRICAL PROCESSES FOR ESTIMATED PROJECTIONS OF MULTIVARIATE NORMAL VECTORS WITH APPLICATIONS TO E.D.F. AND CORRELATION TYPE GOODNESS OF FIT TESTS" (2006). University of Kentucky Doctoral Dissertations. 464.
https://uknowledge.uky.edu/gradschool_diss/464
