Running the check_linux_kernel check will complain about missing
commands, for example:

$ /lib/nagios/plugins/check_running_kernel
UNKNOWN: filter command 'lz4 -dc' missing, perhaps install xz-utils,
lz4, lzop, zstd?

(After installing lz4 it complained about lzop for me)

Though running file on my /boot/vmlinuz-* shows, that all kernel images
are bzip compressed.

This seems to be caused by the cat_vmlinux() function checking if the
tool is present before checking if it is needed through the file
signature check.

Resulting in the need to install all possible compression tools instead
of just the ones actually needed (which are very likely to be present
because something had to compress the kernel).