mnt (version 1.4)

test.HJM: Henze-Jimenes-Gamero-Meintanis test of multivariate normality

Description

Computes the test statistic of the Henze-Jimenes-Gamero-Meintanis test.

Usage

test.HJM(data, a = 1.5, MC.rep = 500, alpha = 0.05)

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.

Arguments

data

a n x d matrix of d dimensional data vectors.

a

positive numeric number (tuning parameter).

MC.rep

number of repetitions for the Monte Carlo simulation of the critical value.

alpha

level of significance of the test.

Details

This functions evaluates the teststatistic with the given data and the specified tuning parameter a. Each row of the data Matrix contains one of the n (multivariate) sample with dimension d. To ensure that the computation works properly \(n \ge d+1\) is needed. If that is not the case the test returns an error.

References

Henze, N., Jimenes-Gamero, M.D., Meintanis, S.G. (2019), Characterizations of multinormality and corresponding tests of fit, including for GARCH models, Econometric Th., 35:510-546, tools:::Rd_expr_doi("10.1017/S0266466618000154").

See Also

HJM

Examples

test.HJM(MASS::mvrnorm(10,c(0,1),diag(1,2)),a=2.5,MC=100)