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Biometrika 1999 86(1):191-202; doi:10.1093/biomet/86.1.191
© 1999 by Biometrika Trust
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Assessing multivariate nonnormality using univariate distributions

EH Slate

School of Operations Research, Cornell University, Ithaca, NY 14853, USA slate@orie.cornell.edu

This paper proposes diagnostics that can indicate regions where multivariate distributions are poorly behaved in the sense that they are far from normal. The measure of nonnormality developed by Slate (1994) for univariate distributions is extended to multivariate parametric models by application to univariate marginal and conditional distributions. The approach is illustrated for univariate conditional distributions using dynamic graphics in Xlisp-Stat (Tierney, 1990). Examples show that the exploratory look at 'slices' through the multidimensional distribution provided by the software yields considerable insight into the multivariate shape.

Keywords:Bayesian inference; Dynamic graphics; Multivariate likelihood function; Multivariate posterior distribution; Nonnormality; Reparameterisation; Simulated annealing; Tail probability.


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