Nothing
MardiaTest <-
function(data)
{
#SU: 06/15/2006: the following works in R only if you have the fSeries package loaded.
# It loads the RMetrics fCalendar timeSeries class. Since the other fixes for timeSeries
# assume we are using the RMetrics package, this is OK.
d <- dim(data)[2]
n <- dim(data)[1]
Xbar <- apply(data,2,mean)
Xbar.matrix <- matrix(Xbar,nrow=n,ncol=d,byrow=TRUE)
standardised <- data -Xbar.matrix
S <- var(data)
A <- t(chol(S))
Ainv <- solve(A)
Zdata <- Ainv %*% t(standardised)
Zdata <- t(Zdata)
D2.check <- mahalanobis(data,Xbar,S)
Dij <- Zdata %*% t(Zdata)
D2 <- diag(Dij)
K3 <- mean(as.vector(Dij)^3)
K4 <- mean(D2^2)
statK3 <- n*K3/6
df <- d*(d+1)*(d+2)/6
K3.pval <- 1-pchisq(statK3,df)
mn <- d*(d+2)
vr <- 8*d*(d+2)/n
K4.stat <- (K4-mn)/sqrt(vr)
K4.pval <- 1-pnorm(abs(K4.stat))
c(K3,K3.pval,K4,K4.pval)
outList = list ("skewness" = K3, "p.value" = K3.pval, "kurtosis" = K4, "p.value" = K4.pval)
return(outList)
}
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