Testing Normality of Multivariate Asset Sets

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Description

Tests if the returns of a set of assets are normally distributed.

Usage

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assetsTest(x, method = c("shapiro", "energy"), Replicates = 99)

mvshapiroTest(x)
mvenergyTest(x, Replicates = 99)

Arguments

x

any rectangular time series object which can be converted by the function as.matrix() into a matrix object, e.g. like an object of class timeSeries, data.frame, or mts.

method

a character string, which allows to select the test. If method="shapiro" then Shapiro's multivariate Normality test will be applied as implemented in R's contributed package mvnormtest. If method="energy" then the E-statistic (energy) for testing multivariate Normality will be used as proposed and implemented by Szekely and Rizzo [2005] using parametric bootstrap.

Replicates

an integer value, the number of bootstrap replicates, by default 100. This value is only used if method="energy".

Value

returns an object of class htest.

Author(s)

Diethelm Wuertz for this Rmetrics port.

References

Rizzo M.L. (2002); A New Rotation Invariant Goodness-of-Fit Test, PhD dissertation, Bowling Green State University.

Szekely G.J., Rizzo, M.L. (2005); A New Test for Multivariate Normality, Journal of Multivariate Analysis 93, 58–80.

Szekely G.J. (1989); Potential and Kinetic Energy in Statistics, Lecture Notes, Budapest Institute of Technology, TechnicalUniversity.

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

Examples

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## LPP -
   # Load Swiss Pension Fund Data:
   LPP <- LPP2005REC[, 1:6]
   head(LPP)
   
## assetsTest -
   # Multivariate Shapiro Test - 
   assetsTest(LPP, "shapiro")
  
## assetsTest -
   # Multivariate Energy Test - 
   assetsTest(LPP, "energy")