SR: statistic of the Székely-Rizzo test

In mnt: Affine Invariant Tests of Multivariate Normality

Description

This function returns the value of the statistic of the test of multivariate normality (also called energy test) as in Székely and Rizzo (2005). Note that the scaled residuals use another scaling in the estimator of the covariance matrix as the other functions of the package mnt! It is equivalent to the function mvnorm.e.

Usage

SR(data, abb = 1e-08)

Arguments

data	a n x d matrix of d dimensional data vectors.
abb	Stop criterium.

Value

value of the test statistic.

References

Székely, G., and Rizzo, M. (2005), A new test for multivariate normality, J. Multiv. Anal., 93:58–80, DOI

See Also

mvnorm.e

Examples

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

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