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: http://support.sas.com/ctx/samples/index.jsp?sid=480 Also, in SPSS, we need to use a macro to examine bivariate/multivariate normality. Check it: http://www.columbia.edu/~ld208/
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