test.HJG {mnt}

Henze-Jimenes-Gamero test of multivariate normality

Description

Computes the multivariate normality test of Henze and Jimenes-Gamero (2019) in dependence of a tuning parameter a.

Usage

test.HJG(data, a = 1, MC.rep = 10000, alpha = 0.05)

Arguments

data

a n x d matrix of d dimensional data vectors.

a

positive numeric number (tuning parameter).

MC.rep

number of repetitions for the Monte Carlo simulation of the critical value.

alpha

level of significance of the test.

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 test returns an error.

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.

$param

value tuning parameter.

$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

Henze, N., Jimenez-Gamero, M.D. (2019) "A new class of tests for multinormality with i.i.d. and garch data based on the empirical moment generating function", TEST, 28, 499-521, DOI

See Also

HJG

Examples

test.HJG(MASS::mvrnorm(50,c(0,1),diag(1,2)),a=1.5,MC.rep=500)