A new test of multivariate normality by a double estimation in a characterizing PDE

This paper dealswith testing for nondegenerate normality of a d-variate random vector X based on a random sample X-1, ... , X-n of X. The rationale of the test is that the characteristic function psi(t) = exp(-parallel to t parallel to(2)/2) of the standard normal distribution in R-d is the only solution of the partial differential equation Delta f (t) = (parallel to t parallel to(2)-d) f (t), t is an element of R-d, subject to the condition f (0) = 1, where Delta denotes the Laplace operator. In contrast to a recent approach that bases a test for multivariate normality on the difference Delta psi(n)(t) - (parallel to t parallel to(2)-d)psi(t), where psi(n)(t) is the empirical characteristic function of suitably scaled residuals of X-1, ... , X-n, we consider a weighted L-2-statistic that employs Delta psi(n)(t) (parallel to t parallel to(2)-d)psi(n)(t). We derive asymptotic properties of the test under the null hypothesis and alternatives. The test is affine invariant and consistent against general alternatives, and it exhibits high power when compared with prominent competitors. The main difference between the procedures are theoretically driven by different covariance kernels of the Gaussian limiting processes, which has considerable effect on robustness with respect to the choice of the tuning parameter in the weight function.