Monte Carlo tests
Do you know the test statistics of the multivariate Anderson-Darling test for multivariate normality? Don't worry, these test statistics have only been approximated for a few significance levels in terms of simulation experiments, and it is generally unknown. But then how we can estimate the value of the test statistics for a given number of observations, number of variables and a certain significance level? The answer is easy, and the procedure is as easy as for much simpler tests. We can do it with resampling methods for testing - the Monte Carlo tests.
A motivating example
Before we go to more formal descriptions of such tests, we introduce the Monte Carlo resampling test with a long introductory example. This should show why ...
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