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2007 Oct 11
2
test for whether dataset comes from a known MVN
Dear all,
I have a multivariate dataset containing 100,000 or more points.
I want find the p-value for the dataset of points coming from a
particular multivariate normal distribution
With
mean vector u
Covariance matrix s2
So
H0: points ~ MVN( u, s2)
H1: points not ~ MVN( u, s2)
How do I find the p-value in R?
To me this is a likelihood ratio test problem.
In H0 the parameters are