fPortfolio (version 251.70)

AssetsTests: Testing Multivariate Asset Sets

Description

A collection and description of functions which allow to test if a set of assets is multivariate normally distributed. The functions are: ll{ assetsTest Test for multivariate Normal distribution. }

Usage

assetsTest(x, method = c("shapiro", "energy"), Replicates = 100, 
    title = NULL, description = NULL)

Arguments

description

a character string, assigning a brief description to the returned object.

method

a character string, which allows to select the test. If method="shapiro" then Shapiro's multivariate Normality test will be applied as implemented in R's contributed package mvnormtest. If method="e

Replicates

an integer value, the number of bootstrap replicates, by default 100. This value is only used if method="energy".

title

a character string, assigning a title to an "fASSETS" object.

x

any rectangular time series object which can be converted by the function as.matrix() into a matrix object, e.g. like an object of class timeSeries, data.frame, or mts.

Value

• assetsTest returns an object of class fHTEST.

Details

Assets Tests: The function assetsTest performs two tests for multivariate Normality of an assets Set.

References

Rizzo M.L. (2002); A New Rotation Invariant Goodness-of-Fit Test, PhD dissertation, Bowling Green State University.

Szekely G.J., Rizzo, M.L. (2005); A New Test for Multivariate Normality, Journal of Multivariate Analysis 93, 58--80. Szekely G.J. (1989); Potential and Kinetic Energy in Statistics, Lecture Notes, Budapest Institute of Technology, TechnicalUniversity.

See Also

MultivariateDistribution.

Examples

## berndtInvest -
   data(berndtInvest)
   # Exclude Date, Market and Interest Rate columns from data frame,
   berndtAssets = berndtInvest[, -c(1, 11, 18)]
   rownames(berndtAssets) = berndtInvest[, 1]
   head(berndtAssets)