2022/06/13 by Jian Ma, Ma, Jian · 1 citation
Computer Science · Engineering · Mathematics · #Advanced Statistical Methods and Models #Anomaly Detection Techniques and Applications #FOS: Computer and information sciences #Fault Detection and Control Systems #Methodology (stat.ME)
paper · pdf · doi:10.48550/arxiv.2206.05956
openalex publication_date 2022/06/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper, we proposed a multivariate normality test based on copula entropy. The test statistic is defined as the difference between the copula entropies of unknown distribution and the Gaussian distribution with same covariances. The estimator of the test statistic is presented based on the nonparametric estimator of copula entropy. Two simulation experiments were conducted to compare the proposed test with the five existing ones. Experiment results show the advantage of our test over the others.