I am new to this forum. I am trying to test whether a set of variables in the data follow multivariate normal distribution. I found Mardia's test for this and below is the summary of the results :

Mardia Skewness 58.29 <.0001

Mardia Kurtosis 2.43 0.0149

Henze-Zirkler T 7.52 <.0001

Taking 5% level of significance, I can reject the null hypothesis (data is multivariate normal). However, if i decrease the significance level to 1% and be more strict on my test, I am not able to reject the null hypothesis at 1%.

That means, out of 100 samples I draw, 95 of them will not follow multivariate normal distribution.

and on the other hand, out of 100 sample I draw, 99 of them will follow multivariate normal distribution.

How is this possible?

Could someone please explain me where I am misinterpreting the result, and whether I should reject the test?

Also, the QQ plot of each individual variable indicates normality(straight line at diagonal) but Shapiro wilk test rejects the normality everywhere.

Equation Test Statistic Value Prob

x1 Shapiro-Wilk W 0.80 <.0001

x2 Shapiro-Wilk W 0.93 0.0394

x3 Shapiro-Wilk W 0.86 0.0003

x4 Shapiro-Wilk W 0.92 0.0199

I am assuming that the null hypothesis for Shapiro Wilk test is : Data is normal.

Could someone please explain me whether I should reject or accept the normality of the data ? Also, it would be great if I can be informed of some SAS procedure to test multivariate normality.

Thanks in Advance.