  In this paper, we proposed a multivariate normality test based on copula
entropy. The test statistic is defined as the difference between the copula
entropies of unknown distribution and the Gaussian distribution with same
covariances. The estimator of the test statistic is presented based on the
nonparametric estimator of copula entropy. Two simulation experiments were
conducted to compare the proposed test with the five existing ones. Experiment
results show the advantage of our test over the others.
