Multivariate normality testing plays a critical role in modern statistical analysis by evaluating whether a multivariate dataset conforms to the assumptions of a normal distribution.

D. R. Cox, Nanny Wermuth, Tests of Linearity, Multivariate Normality and the Adequacy of Linear Scores, Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 43, No. 2 (1994), ...

Previous research has investigated the multivariate normality of stock returns using tests based on the marginal distribution of returns. Due to the contemporaneous correlation across asset returns, ...