Hi, there. I have two questions about the diagnostics in multivarite statistics. 1. Is there any diagnostics tool to check if a multivariate sample is from multivariate normal distribution? If there is one, is there any function doing it in R? 2. Is there any function of testing if two multivariate distribution are same, i.e. the multivariate extension of Kolomogrov-Smirnov test? Thanks for your help. Yulei $$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$ Yulei He 1586 Murfin Ave. Apt 37 Ann Arbor, MI 48105-3135 yuleih at umich.edu 734-647-0305(H) 734-763-0421(O) 734-763-0427(O) 734-764-8263(fax) $$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$
Hi,
give a look to the package:
mvnormtest
Normality test for multivariate variables
http://www.biometrics.mtu.edu/CRAN/src/contrib/Descriptions/mvnormtest.html
it includes a multivariate extention of Shapiro test.
I believe in statistical literature, I read somewhere,
exists a multivariate extension of KS test. It
assumes that the sum of squared single normal
variables is distributed accordig a chi square with a
certain number of df. KS test is used to test if this
is true or not.
Regards
Vito
Yulei He wrote:
Hi, there.
I have two questions about the diagnostics in
multivarite statistics.
1. Is there any diagnostics tool to check if a
multivariate sample is from
multivariate normal distribution? If there is one, is
there any function
doing it in R?
2. Is there any function of testing if two
multivariate distribution are same, i.e. the
multivariate extension of Kolomogrov-Smirnov test?
Thanks for your help.
Yulei
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Yulei, There are tests for multivariate normality and for equal multivariate distributions in the energy package. The reference mentioned in the help file for the multivariate normality test is in JMVA March 2005 Vol. 93(1), 58-80. Some other tests for multivariate normality include Mardia's multivariate skewness and kurtosis tests, and the BHEP tests based on the empirical characteristic function. I have R functions (not in an R package) for these tests if you are interested. Maria Rizzo>Message: 47 >Date: Wed, 12 Jan 2005 21:42:58 -0500 (EST) >From: Yulei He <yuleih at umich.edu> >Subject: [R] multivariate diagnostics >To: r-help at stat.math.ethz.ch >Message-ID: > <Pine.SOL.4.58.0501122139570.810 at tetris.gpcc.itd.umich.edu> >Content-Type: TEXT/PLAIN; charset=US-ASCII > >Hi, there. > >I have two questions about the diagnostics in multivarite statistics. > >1. Is there any diagnostics tool to check if a multivariate sample is from >multivariate normal distribution? If there is one, is there any function >doing it in R? > >2. Is there any function of testing if two multivariate distribution are >same, i.e. the multivariate extension of Kolomogrov-Smirnov test? > >Thanks for your help. > >Yulei > > >$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$ >Yulei He >1586 Murfin Ave. Apt 37 >Ann Arbor, MI 48105-3135 >yuleih at umich.edu >734-647-0305(H) >734-763-0421(O) >734-763-0427(O) >734-764-8263(fax) >$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$