HZ: Statistic of the Henze-Zirkler test

In mnt: Affine Invariant Tests of Multivariate Normality

Description

This function returns the value of the statistic of the BHEP test as in Henze and Zirkler (1990). The difference to the BHEP test is in the choice of the tuning parameter β.

Usage

HZ(data)

Arguments

data	a n x d matrix of d dimensional data vectors.

Details

A BHEP test is performed with tuning parameter β chosen in dependence of the sample size n and the dimension d, namely

β=\frac{((2d+1)n/4)^(1/(d+4))}{√{2}}.

Value

value of the test statistic.

References

Henze, N., and Zirkler, B. (1990), A class of invariant consistent tests for multivariate normality, Commun.-Statist. – Th. Meth., 19:3595–3617, DOI

See Also

BHEP

Examples

HZ(MASS::mvrnorm(50,c(0,1),diag(1,2)))

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