AssetsTests {fAssets}R Documentation

Testing Multivariate Asset Sets

Description

A collection and description of functions which allow to test if a set of assets is multivariate normally distributed.

The functions are:

assetsTest Test Suite for multivariate Normal distribution,
mvshapiroTest multivaraite Shapiro Test.

Usage

assetsTest(x, method = c("shapiro", "energy"), Replicates = 100, 
    title = NULL, description = NULL)

Arguments

description a character string, assigning a brief description to the returned object.
method a character string, which allows to select the test. If method="shapiro" then Shapiro's multivariate Normality test will be applied as implemented in R's contributed package mvnormtest. If method="energy" then the E-statistic (energy) for testing multivariate Normality will be used as proposed and implemented by Szekely and Rizzo [2005] using parametric bootstrap.
Replicates an integer value, the number of bootstrap replicates, by default 100. This value is only used if method="energy".
title a character string, assigning a title to an "fASSETS" object.
x any rectangular time series object which can be converted by the function as.matrix() into a matrix object, e.g. like an object of class timeSeries, data.frame, or mts.

Value

assetsTest
returns an object of class fHTEST.

Author(s)

Diethelm Wuertz for this Rmetrics port.

References

Rizzo M.L. (2002); A New Rotation Invariant Goodness-of-Fit Test, PhD dissertation, Bowling Green State University.

Szekely G.J., Rizzo, M.L. (2005); A New Test for Multivariate Normality, Journal of Multivariate Analysis 93, 58–80.

Szekely G.J. (1989); Potential and Kinetic Energy in Statistics, Lecture Notes, Budapest Institute of Technology, TechnicalUniversity.

See Also

MultivariateDistribution.

Examples

## LPP -
   LPP = as.timeSeries(data(LPP2005REC))[, 1:6]
   colnames(LPP)
   
   # Multivariate Shapiro Test:
   assetsTest(LPP, "shapiro")
   
   # Multivariate Energy Test:
   assetsTest(LPP, "energy")

[Package fAssets version 280.74 Index]