[R] Re: multivariate diagnostics

[Maria Rizzo]

Yulei,

There are tests for multivariate normality and for equal multivariate 
distributions in the energy package. The reference mentioned in the help 
file for the multivariate normality test is in JMVA March 2005 Vol. 93(1), 
58-80.

Some other tests for multivariate normality include Mardia's multivariate 
skewness and kurtosis tests, and the BHEP tests based on the empirical 
characteristic function. I have R functions (not in an R package) for these 
tests if you are interested.

Maria Rizzo



>Message: 47
>Date: Wed, 12 Jan 2005 21:42:58 -0500 (EST)
>From: Yulei He <yuleih at umich.edu>
>Subject: [R] multivariate diagnostics
>To: r-help at stat.math.ethz.ch
>Message-ID:
>         <Pine.SOL.4.58.0501122139570.810 at tetris.gpcc.itd.umich.edu>
>Content-Type: TEXT/PLAIN; charset=US-ASCII
>
>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
>
>
>$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$
>Yulei He
>1586 Murfin Ave. Apt 37
>Ann Arbor, MI 48105-3135
>yuleih at umich.edu
>734-647-0305(H)
>734-763-0421(O)
>734-763-0427(O)
>734-764-8263(fax)
>$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$