The Baringhaus–Henze–Epps–Pulley multivariate normality test.
According to Henze & Wagner (1997) the test has:
The test depends on a smoothing parameter h that can be chosen in various ways:
Henze & Wagner (1997) recommend h = 1.41, while
Tenreiro (2009) recommends hs = 0.448 + 0.026·d for short tailed alternatives and hl = 0.928 + 0.049·d for long tailed alternatives.
© djmw, November 24, 2010