test.HZ {mnt}

The Henze-Zirkler test

Description

Performs the test of multivariate normality of Henze and Zirkler (1990).

Usage

test.HZ(data, MC.rep = 10000, alpha = 0.05)

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

Details

A BHEP test is performed with tuning parameter \beta chosen in dependence of the sample size n and the dimension d, namely

\beta=\frac{((2d+1)n/4)^(1/(d+4))}{\sqrt{2}}.

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., Zirkler, B. (1990), A class of invariant consistent tests for multivariate normality, Commun.-Statist. - Th. Meth., 19:3595-3617, DOI

See Also

HZ

Examples

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