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\name{assets-testing}
\alias{assetsTest}
\alias{mvshapiroTest}
\alias{mvenergyTest}
\title{Testing Normality of Multivariate Asset Sets}
\description{
Tests if the returns of a set of assets are
normally distributed.
}
\usage{
assetsTest(x, method = c("shapiro", "energy"), Replicates = 99)
mvshapiroTest(x)
mvenergyTest(x, Replicates = 99)
}
\arguments{
\item{x}{
any rectangular time series object which can be converted by the
function \code{as.matrix()} into a matrix object, e.g. like an
object of class \code{timeSeries}, \code{data.frame}, or \code{mts}.
}
\item{method}{
a character string, which allows to select the test.
If \code{method="shapiro"} then Shapiro's multivariate Normality
test will be applied as implemented in R's contributed package
\code{mvnormtest}. If \code{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.
}
\item{Replicates}{
an integer value, the number of bootstrap replicates, by
default 100. This value is only used if \code{method="energy"}.
}
}
\value{
returns an object of class \code{htest}.
}
\references{
Rizzo M.L. (2002);
\emph{A New Rotation Invariant Goodness-of-Fit Test},
PhD dissertation, Bowling Green State University.
Szekely G.J., Rizzo, M.L. (2005);
\emph{A New Test for Multivariate Normality},
Journal of Multivariate Analysis 93, 58--80.
Szekely G.J. (1989);
\emph{Potential and Kinetic Energy in Statistics},
Lecture Notes, Budapest Institute of Technology, TechnicalUniversity.
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009);
\emph{Portfolio Optimization with R/Rmetrics},
Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
}
\author{
Diethelm Wuertz for this Rmetrics port.
}
\examples{
## LPP -
# Load Swiss Pension Fund Data:
LPP <- LPP2005REC[, 1:6]
head(LPP)
## assetsTest -
# Multivariate Shapiro Test -
assetsTest(LPP, "shapiro")
## assetsTest -
# Multivariate Energy Test -
assetsTest(LPP, "energy")
}
\keyword{models}
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