I'm reading a paper Mardia (1974) about multivariate normal tests.
There is a line that says "The statistic is asymptotically distributed as N(0,1)."
Now, I have calculated this value for one of my data sets, and it is -5.8, and for another set it is 0.87.
I am guessing it is something to do with Z scores?
For example, if this value is between +/- 2, then I have a 0.954 chance of it being normal (replace proper null hypothesis terminology here).
If i'm correct that would mean my "statistic" is just like a sample std deviation?