In some statistical analysis, we'd like to test assumption of
normality in the beginning before analyzing. In univariate case, we
all understand Q-Q plot and some K-S statistic can be used to
assess normality. However, in multivariate normal distribution, how
about that?

Mardia's statistic is a test for multivariate normality. Based on
functions of skewness and kurtosis, Mardia's PK should be less than
3 to assume the assumption of multivariate normality is met. But,
whatever in SAS or SPSS, there is no easy way to use any statement
to perform it in any procedure.

In SAS, we need to use a macro procedure to calculate Mardia's PK
statistics. SAS Inc. released the codes on official website. Please
check the following link:

Also, in SPSS, we need to use a macro to examine
bivariate/multivariate normality. Check it:


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