HJG {mnt} | R Documentation |
Computes the test statistic of the Henze-Jimenes-Gamero test.
HJG(data, a = 5)
data |
a n x d numeric matrix of data values. |
a |
positive numeric number (tuning parameter). |
This functions evaluates the teststatistic with the given data and the specified tuning parameter a
.
Each row of the data Matrix contains one of the n (multivariate) sample with dimension d. To ensure that the computation works properly
n \ge d+1
is needed. If that is not the case the function returns an error.
The value of the test statistic.
Henze, N., Jiménez-Gamero, M.D. (2019) "A new class of tests for multinormality with i.i.d. and garch data based on the empirical moment generating function", TEST, 28, 499-521, DOI
HJG(MASS::mvrnorm(50,c(0,1),diag(1,2)),a=5)