Author

N. Henze

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Preprint Sep 2026

Four-Moment Approximations and Fast $p$-Values for BHEP Tests of Multivariate Normality

The Baringhaus--Henze--Epps--Pulley (BHEP) tests form a widely applicable class of affine invariant and consistent tests for multivariate normality. Under the null hypothesis, the test statistic converges to a weighted sum of independent chi-squared random variables. Although closed-form expressions for the first three...

B. Ebner, N. Henze · 0 citations

Preprint Sep 2026

The Spectra of the Henze-Zirkler and Henze-Wagner Operators for BHEP Tests

The Baringhaus-Henze-Epps-Pulley (BHEP) tests for multivariate normality are affine-invariant goodness-of-fit tests based on a Gaussian-weighted $L^2$ distance between empirical and Gaussian characteristic functions. In 1990, Henze and Zirkler expressed the limiting null distribution through the eigenvalues of an integ...

B. Ebner, D. Edelmann, N. Henze et al. · 1 citation