MVNtestchar: Test for Multivariate Normal Distribution Based on a Characterization (original) (raw)

Provides a test of multivariate normality of an unknown sample that does not require estimation of the nuisance parameters, the mean and covariance matrix. Rather, a sequence of transformations removes these nuisance parameters and results in a set of sample matrices that are positive definite. These matrices are uniformly distributed on the space of positive definite matrices in the unit hyper-rectangle if and only if the original data is multivariate normal (Fairweather, 1973, Doctoral dissertation, University of Washington). The package performs a goodness of fit test of this hypothesis. In addition to the test, functions in the package give visualizations of the support region of positive definite matrices for bivariate samples.

Documentation:

Downloads:

Linking:

Please use the canonical formhttps://CRAN.R-project.org/package=MVNtestcharto link to this page.