Computational statistics & data analysis vol:30 issue:2 pages:119-142
Based on the notion of multivariate quantiles in terms of minimum volume ellipsoids as introduced in Einmahl and Mason (1992), a generalized chi-square quantile plot is constructed from which tests for multivariate normality an derived. The generalized quantile plot also offers some extra possibilities for data analysis, e.g. in identifying and describing non-normality. An algorithm is proposed to approximate the generalized quantiles, extending existing methods to approximate median quantiles with only a minor extra computational cost and preserving the effectivity of the method. A power analysis is included and the method is illustrated with some case-studies. (C) 1999 Elsevier Science B.V. All rights reserved.