Schott: Schott's test for elliptical symmetry

In ellipticalsymmetry: Elliptical Symmetry Tests

Description

Test for elliptical symmetry.

Usage

Schott(X)

Arguments

X	A numeric matrix.

Value

An object of class "htest" containing the following components:

statistic	The value of the test statistic.
pvalue	The p-value of the test.
alternative	A character string describing the alternative hypothesis.
method	A character string indicating what type of test was performed.

Background

A Wald-type test for elliptical symmetry based on fourth moments. It compares the sample fourth moments with the expected theoretical ones under ellipticity. Being based on fourth-order moments, the test is very simple to use but requires moments of order 8. It has an asymptotic chi-squared distribution under the null hypothesis of ellipticity.

References

Schott, James R., (2002). Testing for elliptical symmetry in covariance-matrix-based analyses. Statistics & Probability Letters, 60(4), 395-404.

Examples

## sepal width and length of the versicolor subset of the Iris data
X = datasets::iris[51:100,1:2]

Schott(X)

ellipticalsymmetry documentation built on April 7, 2021, 5:06 p.m.