[R] Re: multivariate diagnostics

[Vito Ricci]

Hi,

give a look to the package:

mvnormtest	
Normality test for multivariate variables 

http://www.biometrics.mtu.edu/CRAN/src/contrib/Descriptions/mvnormtest.html

it includes a multivariate extention of Shapiro test.

I believe in statistical literature, I read somewhere,
 exists a multivariate extension of KS test. It
assumes that the sum of squared single normal
variables  is distributed accordig a chi square with a
certain number of df.  KS test is used to test if this
is true or not.

Regards
Vito


Yulei He wrote:

Hi, there.

I have two questions about the diagnostics in
multivarite statistics.

1. Is there any diagnostics tool to check if a
multivariate sample is from
multivariate normal distribution? If there is one, is
there any function
doing it in R?

2. Is there any function of testing if two
multivariate distribution are same, i.e. the
multivariate extension of Kolomogrov-Smirnov test?

Thanks for your help.

Yulei

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