mardia: Multivariate Skewness and Kurtosis
In jeksterslabds/jeksterslabRdist: Jekster's Lab Distribution Utilities

Description Usage Arguments Value Author(s) Examples

Multivariate Skewness and Kurtosis

mardia(X)

`X`	Matrix or data frame.

Returns a vector with the following elements

b1: Estimate of multivariate skewness ≤ft( b_{1, k} \right) .
b1.chisq: chi-square statistic ≤ft( \frac{nb_{1, k}}{6} \right) .
b1.df: Degrees of freedom ≤ft( \frac{k(k + 1)(k + 2)}{6} \right) .
b1.p: p-value associated with the chi-square statistic.
b2: Estimate of multivariate kurtosis ≤ft( b_{2, k} \right) .
b2.z: z-statistic ≤ft( \frac{b_{2, k} - k ≤ft( k + 2 \right)}{√{\frac{8 k ≤ft( k + 2 \right)}{n}}} \right) .
b2.p: p-value associated with the z-statistic.

Ivan Jacob Agaloos Pesigan

set.seed(42)
n <- 100
mu <- c(0, 0, 0)
Sigma <- matrix(
  data = c(1, 0.5, 0.5, 0.5, 1, 0.5, 0.5, 0.5, 1),
  ncol = 3
)
X <- MASS::mvrnorm(n = n, mu = mu, Sigma = Sigma)
mardia(X)