AssetsTests             package:fAssets             R Documentation

_T_e_s_t_i_n_g _M_u_l_t_i_v_a_r_i_a_t_e _A_s_s_e_t _S_e_t_s

_D_e_s_c_r_i_p_t_i_o_n:

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

     The functions are:

       'assetsTest'  Test for multivariate Normal distribution.

_U_s_a_g_e:

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

_A_r_g_u_m_e_n_t_s:

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'.  

_D_e_t_a_i_l_s:

     *Assets Tests:* 

         The function 'assetsTest' performs two tests for multivariate
     Normality of an assets Set.

_V_a_l_u_e:

     'assetsTest' 
      returns an object of class 'fHTEST'.

_N_o_t_e:

     The usage of the alternative 'method="energy"' requires to load
     the contributed R package 'energy'. This is done by the function
     'assetsTest' itself, but it is important to know,  that the
     packages can only loaded if they are installed.

_A_u_t_h_o_r(_s):

     Maria Rizzoand Gabor Szekely for R's 'energy' package, 
      Diethelm Wuertz for the Rmetrics port.

_R_e_f_e_r_e_n_c_e_s:

     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.

_S_e_e _A_l_s_o:

     'MultivariateDistribution'.

_E_x_a_m_p_l_e_s:

     ## berndtInvest -
        data(berndtInvest)
        # Exclude Date, Market and Interest Rate columns from data frame,
        berndtAssets = berndtInvest[, -c(1, 11, 18)]
        rownames(berndtAssets) = berndtInvest[, 1]
        head(berndtAssets)  

