HJG: Henze-Jiménes-Gamero test statistic

In mnt: Affine Invariant Tests of Multivariate Normality

Description

Computes the test statistic of the Henze-Jimenes-Gamero test.

Usage

HJG(data, a = 5)

Arguments

data	a n x d numeric matrix of data values.
a	positive numeric number (tuning parameter).

Details

This functions evaluates the teststatistic with the given data and the specified tuning parameter a. Each row of the data Matrix contains one of the n (multivariate) sample with dimension d. To ensure that the computation works properly n ≥ d+1 is needed. If that is not the case the function returns an error.

Value

The value of the test statistic.

References

Henze, N., Jiménez-Gamero, M.D. (2019) "A new class of tests for multinormality with i.i.d. and garch data based on the empirical moment generating function", TEST, 28, 499-521, DOI

Examples

HJG(MASS::mvrnorm(50,c(0,1),diag(1,2)),a=5)

mnt documentation built on July 31, 2020, 5:07 p.m.