Multivariate normality test in Python [closed]

Question

Is there a multivariate normality test available in any of packages in Python?

I have heard of some scipy functions but are they applicable to multivariate data? I have a dataset with 30000 datapoints each point with 1024 variables. I want to check if these variables have multivariate normal distribution. How do I do this in Python.

Answer 1

Using scipy you can create samples of random variable from multivariate normal distribution. See here.

If you already have a sample that was generated using multivariate normal distribution, but you don't know its parameters, you can use maximum likelihood estimator to estimate them (see this example).

If you have a sample and you want to test if it was generated using multivariate normal distribution, you can use goodness of fit test. See this discussion for relevant scipy methods.