# Multivariate normality plots

To check multivariate normality, which is the best plot - a chi square qq plot for the entire set of variables or as many qqplots as the number of variables?

• Which method do you think gives the most information? (Neither is "best", though, because they give information only about marginal distributions and therefore their diagnostic capabilities are incomplete.)
– whuber
Jul 26 '14 at 18:59
• Of the two which is better? Jul 26 '14 at 19:00
• I don't know what you mean by a "chi square qq plot for the entire set of variables." When I first read the question I thought it meant a QQ plot comparing the sum of squares of the values to a relevant $\chi^2$ distribution, but it now occurs to me you might have had something else in mind--I just don't know exactly what.
– whuber
Jul 26 '14 at 23:49
• chi square qq plot = squared Mahalanobis distance against the Chi square quantile. I obtained it by giving qq plot = true when Mardia's MVN test was used in R. Jul 27 '14 at 6:09