HJM {mnt}

statistic of the Henze-Jiménes-Gamero-Meintanis test

Description

Computes the test statistic of the Henze-Jiménes-Gamero-Meintanis test.

Usage

HJM(data, a)

Arguments

data

a n x d numeric matrix of data values.

a

positive numeric number (tuning parameter).

Details

This functions evaluates the teststatistic with the given data and the specified tuning parameter a. Each row of the data Matrix contains one of the n (multivariate) sample with dimension d. To ensure that the computation works properly n \ge d+1 is needed. If that is not the case the function returns an error.

Value

The value of the test statistic.

References

Henze, N., Jiménes-Gamero, M.D., Meintanis, S.G. (2019), Characterizations of multinormality and corresponding tests of fit, including for GARCH models, Econometric Th., 35:510–546, DOI.

Examples

HJM(MASS::mvrnorm(20,c(0,1),diag(1,2)),a=2.5)