2.6. Q-Q Plots for Assessing Multivariate Normality

We present a simple method of assessing multivariate normality using a Q-Q plot. A Q-Q plot is a quantile-quantile comparison of two distributions either or both of which may be empirical or theoretical. When we compare the probability distributions of two random variables, the Q-Q plot will result in a straight line if the two variables are linearly related. These plots are especially good for discriminating in the tail areas of the distributions since the quantiles change more rapidly there and hence the larger distances will occur between consecutive quantiles. Often to assess the multivariate normality of a set of multivariate data, the marginal univariate normality of each component is ...

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