HZ.test {mvnTest}

Henze-Zirkler test for Multivariate Normality

Description

This function implements the Henze-Zirkler test for assessing multivariate normality.

Usage

HZ.test(data, qqplot = FALSE)

Arguments

data

A numeric matrix or data frame

qqplot

if TRUE creates a chi-square Q-Q plot

Details

Calculates the value of the Henze-Zirkler test and the approximate p-value.

Value

HZ

the value of the test statistic

p.value

the p-value of the test

data.name

a character string giving the name of the data

Note

The printing method and plotting are in part adapted from R package MVN (Korkmaz, S. et al., 2015, version 4.0).

Author(s)

Rashid Makarov, Vassilly Voinov, Natalya Pya

References

Henze, N. and Zirkler, B. (1990). A class of invariant consistent tests for multivariate normality. Communications in Statistics-Theory and Methods, 19, 3595-3617

See Also

S2.test, DH.test, AD.test, CM.test, R.test

Examples

## generating n bivariate normal random variables...       
dat <- rmvnorm(n=200,mean=rep(0,2),sigma=matrix(c(4,2,2,4),2,2)) 
res <- HZ.test(dat)
res
## generating n bivariate t distributed with 10df random variables...       
dat <- rmvt(n=200,sigma=matrix(c(4,2,2,4),2,2)*.8,df=10,delta=rep(0,2)) 
res1 <- HZ.test(dat)
res1

data(iris)
setosa = iris[1:50, 1:4] # Iris data only for setosa
res2 <- HZ.test(setosa, qqplot = TRUE)
res2