Title :
Testing multivariate Gaussianity with the characteristic function
Author :
Zoubir, A.M. ; Brown, C.L. ; Boashash, B.
Author_Institution :
Signal Process. Res. Centre, Queensland Univ. of Technol., Brisbane, Qld., Australia
Abstract :
A modification to a previously developed characteristic function based Gaussianity test is proposed. The power of the test is consequently improved. This test is then extended to the multivariate case, allowing it to be applied to correlated data. Monte Carlo simulations are performed to compare power with two other tests for multivariate Gaussianity, with encouraging results
Keywords :
Gaussian processes; Monte Carlo methods; correlation theory; higher order statistics; signal processing; smoothing methods; testing; Monte Carlo simulations; characteristic function; correlated data; testing multivariate Gaussianity; Australia; Gaussian processes; H infinity control; Kernel; Performance evaluation; Reactive power; Signal processing; Smoothing methods; Testing;
Conference_Titel :
Higher-Order Statistics, 1997., Proceedings of the IEEE Signal Processing Workshop on
Conference_Location :
Banff, Alta.
Print_ISBN :
0-8186-8005-9
DOI :
10.1109/HOST.1997.613563
