Package MVN

August 29, 2013

Type Package Title Multivariate Normality Tests Version 1.0 Date 2013-02-12 Author Selcuk KORKMAZ Maintainer Selcuk KORKMAZ <selcuk.korkmaz@hacettepe.edu.tr> Depends R (>= 2.15.0), nortest, moments Description The MVN library contain several multivariate normality tests such as Henze-Zirkler, Mardia and Royston. License GPL (>= 2) Repository CRAN Date/Publication 2013-02-13 18:23:29 NeedsCompilation no

R topics documented:
MVN-package . data . . . . . . HZ.test . . . . mardia.test . . . royston.test . . Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 2 3 4 5 7

data

MVN-package

Perform several multivariate normality tests.

Description The MVN library contain several multivariate normality tests such as Henze-Zirkler, Mardia and Royston. Details Package: Type: Version: Date: License: MVN Package 1.0 2013-02-04 GPL (>= 2)

HZ.test(data) mardia.test(data) royston.test(data) Author(s) Selcuk KORKMAZ Maintainer: Selcuk KORKMAZ <selcuk.korkmaz@hacettepe.edu.tr>

data

Edgar Andersons Iris Data

Description iris data Usage data Source Fisher, R. A. (1936) The use of multiple measurements in taxonomic problems. Annals of Eugenics, 7, Part II, 179-188. The data were collected by Anderson, Edgar (1935). The irises of the Gaspe Peninsula, Bulletin of the American Iris Society, 59, 2-5. References Becker, R. A., Chambers, J. M. and Wilks, A. R. (1988) The New S Language. Wadsworth & Brooks/Cole.

HZ.test Examples
a=iris[1:5 ,1:4] # Iris data only for setosa

HZ.test

Henze-Zirklers Multivariate Normality Test

Description This function performs Henze-Zirklers Multivariate Normality Test. Usage HZ.test(data, cov = TRUE, plot = TRUE) Arguments data cov plot Details The Henze-Zirkler test is based on a non-negative functional distance that measures the distance between two distribution functions. If the data is multivariate normality, the test statistic HZ is approximately lognormally distributed. It proceeds to calculate the mean, variance and smoothness parameter. Then, mean and variance are lognormalized and the p-value is estimated. Value HZ p-value Author(s) Selcuk KORKMAZ <selcuk.korkmaz@hacettepe.edu.tr> References Trujillo-Ortiz, A., R. Hernandez-Walls, K. Barba-Rojo and L. Cupul-Magana.(2007). HZmvntest:HenzeZirklers Multivariate Normality Test. A MATLAB le. URL http://www.mathworks.com/ matlabcentral/fileexchange/loadFile.do?objectId=17931 Henze, N. and Zirkler, B. (1990), A Class of Invariant Consistent Tests for Multivariate Normality. Commun. Statist.-Theor. Meth., 19(10): 35953618. Henze, N. and Wagner, Th. (1997), A New Approach to the BHEP tests for multivariate normality. Journal of Multivariate Analysis, 62:1-23. the value of Henze-Zirkler statistic at signicance level . 5 a p-value for the HZ test a numeric matrix or data frame if TRUE covariance matrix normalized by n, if FALSE normalized by n-1 if TRUE it draws a chi-square Q-Q plot

mardia.test Johnson, R. A. and Wichern, D. W. (1992), Applied Multivariate Statistical Analysis. 3rd. ed. New-Jersey:Prentice Hall. Mecklin, C. J. and Mundfrom, D. J. (2003), On Using Asymptotic Critical Values in Testing for Multivariate Normality. http://interstat.statjournals.net/YEAR/2 3/articles/ 3 1 1. pdf

See Also royston.test mardia.test Examples

data=iris[1:5 ,1:4] # Iris data only for setosa and four variables HZ.test(data)

mardia.test

Mardias Multivariate Normality Test

Description This function performs Mardias Multivariate Normality Test. Usage mardia.test(data, cov = TRUE, plot = TRUE) Arguments data cov plot Details Calculates the Mardias multivariate skewness and kurtosis coefcients as well as their corresponding statistical tests. For large sample size the multivariate skewness is asymptotically distributed as a Chi-square random variable; here it is corrected for small sample size. Likewise, the multivariate kurtosis it is distributed as a unit-normal. Value g1p skew p.value.skew small.skew p.value.small Mardias g1p estimate of multivariate skew Mardias skew statistic p-value of skew statistic Mardias small sample skew statistic p-value of small sample skew statistic a numeric matrix or data frame if TRUE covariance matrix normalized by n, if FALSE normalized by n-1 if TRUE it draws a chi-square Q-Q plot

royston.test g2p kurtosis p.value.kurt Author(s) Selcuk KORKMAZ <selcuk.korkmaz@hacettepe.edu.tr> References Mardias g2p estimate of multivariate kurtosis Mardias multivariate kurtosis statistic p-value of kurtosis statistic

Trujillo-Ortiz, A. and R. Hernandez-Walls. (2003). Mskekur: Mardias multivariate skewness and kurtosis coefcients and its hypotheses testing. A MATLAB le. URL http://www.mathworks. com/matlabcentral/fileexchange/loadFile.do?objectId=3519 Mardia, K. V. (1970), Measures of multivariate skewnees and kurtosis with applications. Biometrika, 57(3):519-530. Mardia, K. V. (1974), Applications of some measures of multivariate skewness and kurtosis for testing normality and robustness studies. Sankhy A, 36:115-128. Stevens, J. (1992), Applied Multivariate Statistics for Social Sciences. 2nd. ed. New-Jersey:Lawrance Erlbaum Associates Publishers. pp. 247-248. See Also royston.test HZ.test Examples
data=iris[1:5 ,1:4] # Iris data only for setosa and four variables mardia.test(data)

royston.test

Roystons Multivariate Normality Test

Description This function performs Roystons Multivariate Normality Test. Usage royston.test(data, plot = TRUE) Arguments data plot a numeric matrix or data frame if TRUE it draws a chi-square Q-Q plot

6 Details

royston.test

A function to generate the Shapiro-Wilks W statistic needed to feed the Roystons H test for multivariate normality However, if kurtosis of the data greater than 3 then Shapiro-Francia test is used for leptokurtic samples else Shapiro-Wilk test is used for platykurtic samples. Value H p-value the value of Roystons H statistic at signicance level . 5 an approximate p-value for the test with respect to equivalent degrees of freedom (edf)

Author(s) Selcuk KORKMAZ <selcuk.korkmaz@hacettepe.edu.tr> References Johnson, R.A. and Wichern, D. W. (1992). Applied Multivariate Statistical Analysis. 3rd. ed. New-Jersey:Prentice Hall. Mecklin, C.J. and Mundfrom, D.J. (2005). A Monte Carlo comparison of the Type I and Type II error rates of tests of multivariate normality. Journal of Statistical Computation and Simulation, 75:93-107. Royston, J.P. (1982). An Extension of Shapiro and Wilks W Test for Normality to Large Samples. Applied Statistics, 31(2):115124. Royston, J.P. (1983). Some Techniques for Assessing Multivariate Normality Based on the ShapiroWilk W. Applied Statistics, 32(2). Royston, J.P. (1992). Approximating the Shapiro-Wilk W-Test for non-normality. Statistics and Computing, 2:117-119.121133. Royston, J.P. (1995). Remark AS R94: A remark on Algorithm AS 181: The W test for normality. Applied Statistics, 44:547-551. Shapiro, S. and Wilk, M. (1965). An analysis of variance test for normality. Biometrika, 52:591611. Trujillo-Ortiz, A., R. Hernandez-Walls, K. Barba-Rojo and L. Cupul-Magana. (2007). Roystest:Roystons Multivariate Normality Test. A MATLAB le. URL http://www.mathworks.com/ matlabcentral/fileexchange/17811 See Also HZ.test mardia.test Examples
data=iris[1:5 ,1:4] # Iris data only for setosa and four variables royston.test(data)

Index
data, 2 HZ.test, 3, 5, 6 iris, 2 mardia.test, 4, 4, 6 MVN (MVN-package), 2 MVN-package, 2 royston.test, 4, 5, 5