Multivariate normal distribution - Wikipedia, the free encyclopedia: "Multivariate normality tests
Multivariate normality tests check a given set of data for similarity to the multivariate normal distribution. The null hypothesis is that the data set is similar to the normal distribution, therefore a sufficiently small p-value indicates non-normal data. Multivariate normality tests include the Cox-Small test [3] and Smith and Jain's adaptation [4] of the Friedman-Rafsky test."
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