normality.test2 {normwn.test}R Documentation

Omnibus Normality Test under Weak Dependance

Description

Performs the Doornik-Hansen omnibus test for normality with allowance for the variable(s) being weakly dependent rather than independent. The test was implicitly suggested by an article by Lobato and Velasco (2004)

Usage

normality.test2(x)

Arguments

x input matrix by row n (observations) and column p (variables)

Details

In the univariate case, the input matrix is row n (observations) by 1

Value

A list with class htest containing the following components:

sk skewness statistics
k kurtosis statistics
rtb1 skewness of standardized variables
b2 kurtosis of standardized variables
z1 skewness of transformed variables
z2 kurtosis of transformed variables
pvalsk p-values under null of no skewness
pskneg p-values under null of no negative skewness
ppskpos p-values under null of no positive skewness
pvalk p-values under null of no kurtosis
pkneg p-values under null of no negative kurtosis
pkpos p-values under null of no positive kurtosis
Ep value of normality test statistic
dof degrees of freedom
Sig.Ep significance of normality test statistic

Author(s)

Peter Wickham

References

Doornik, J.A, and H. Hansen (1994). "An Omnibus Test for Univariate and Multivariate Normality. Working Paper, Nuffield College, Oxford, U.K. Lobato, I., and C. Velasco (2004). "A Simple Test of Normality of Time Series". Econometric Theory, 20, 671-689, Cambridge University Press.

See Also

normality.test1


[Package normwn.test version 1.2 Index]