1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
|
# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
################################################################################
# FUNCTION: DESCRIPTION:
# assetsTest Tests for multivariate Normal Assets
# FUNCTION: DESCRIPTION:
# mvshapiroTest Multivariate Shapiro Test
# mvenergyTest Multivariate E-Statistic (Energy) Test
################################################################################
assetsTest <-
function(x, method = c("shapiro", "energy"), Replicates = 99)
{
# Description:
# Tests for multivariate Normal Assets
# Example:
# mvnormTest(x = assetsSim(100))
# mvnormTest(x = assetsSim(100), method = "e", Replicates = 99)
# FUNCTION:
# Test:
method <- match.arg(method)
if (method == "shapiro") {
test <- mvshapiroTest(x)
}
if (method == "energy") {
test <- mvenergyTest(x, Replicates = Replicates)
}
# Return Value:
test
}
# ------------------------------------------------------------------------------
mvshapiroTest <-
function(x)
{
# Description:
# Computes Shapiro's normality test for multivariate variables
# Requires:
# Package: mvnormtest
# Version: 0.1-6
# Date: 2005-04-02
# Title: Normality test for multivariate variables
# Author: Slawomir Jarek
# Maintainer: Slawomir Jarek <slawomir.jarek@gallus.edu.pl>
# Description: Generalization of shapiro-wilk test for
# multivariate variables.
# License: GPL
# Example:
# mvshapiroTest(x = assetsSim(100))
# FUNCTION:
# Transform:
U <- t(as.matrix(x))
# Test
test <- mvnormtest::mshapiro.test(U)
# Return Value:
test
}
# ------------------------------------------------------------------------------
mvenergyTest <-
function(x, Replicates = 99)
{
# Description:
# Computes E-statistics test for multivariate variables
# Requires:
# Package: energy
# Author: Maria L. Rizzo <mrizzo @ bgnet.bgsu.edu> and
# Gabor J. Szekely <gabors @ bgnet.bgsu.edu>
# License: GPL 2.0 or later
# Example:
# mvenergyTest(x = assetsSim(100), 99)
# FUNCTION:
# Transform:
x <- as.matrix(x)
# Test:
test <- energy::mvnorm.etest(x, R = Replicates)
# Return Value:
test
}
################################################################################
|