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
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.
#'
Details
A BHEP test is performed with tuning parameter \(\beta\) chosen in dependence of the sample size n and the dimension d, namely $$\beta=\frac{((2d+1)n/4)^(1/(d+4))}{\sqrt{2}}.$$
References
Henze, N., Zirkler, B. (1990), A class of invariant consistent tests for multivariate normality, Commun.-Statist. - Th. Meth., 19:3595-3617, DOI