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What is Learnable in Valiant's Theory of the Learnable? 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A new class of tests for multinormality with i.i.d. and Garch data based on the empirical moment generating function
Norbert Henze, María Dolores Jiménez-Gamero · 2017-11-20 · via math.ST updates on arXiv.org

We generalize a recent class of tests for univariate normality that are based on the empirical moment generating function to the multivariate setting, thus obtaining a class of affine invariant, consistent and easy-to-use goodness-of-fit tests for multinormality. The test statistics are suitably weighted $L^2$-statistics, and we provide their asymptotic behavior both for i.i.d. observations as well as in the context of testing that the innovation distribution of a multivariate GARCH model is Gaussian. We study the finite-sample behavior of the new tests, compare the criteria with alternative existing procedures, and apply the new procedure to a data set of monthly log returns.

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