test.SR: Szekely-Rizzo (energy) test

In mnt: Affine Invariant Tests of Multivariate Normality

Description

Performs the test of multivariate normality of Szekely and Rizzo (2005). Note that the scaled residuals use another scaling in the estimator of the covariance matrix!

Usage

test.SR(data, MC.rep = 10000, alpha = 0.05, abb = 1e-08)

Arguments

data	a n x d matrix of d dimensional data vectors.
MC.rep	number of repetitions for the Monte Carlo simulation of the critical value
alpha	level of significance of the test
abb	Stop criterium.

Value

a list containing the value of the test statistic, the approximated critical value and a test decision on the significance level alpha:

$Test

name of the test.

$Test.value

the value of the test statistic.

$cv

the approximated critical value.

$Decision

the comparison of the critical value and the value of the test statistic.

#'

References

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

See Also

SR

Examples

test.SR(MASS::mvrnorm(50,c(0,1),diag(1,2)),MC.rep=500)

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