Abstract
Testing normality and multinormality has long been an interesting issue in statistical inferences. Many tests have been proposed. In particular, Vasicek ( J. Roy. Statist. Soc. A 139 (1976), 54–59) suggested a test based on sample entropy. A similar idea was extended to the multivariate case with projection pursuit for searching for departure from the multivariate normal distribution. We, in this paper, suggest a new test for multinormality based on density estimation, a number-theoretic method, projection pursuit technique and sample entropy. Our results show that the new test may be recommended for practice.
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