assetsTest              package:fAssets              R Documentation

_T_e_s_t_i_n_g _N_o_r_m_a_l_i_t_y _o_f _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:

     Tests if the returns of a set of assets are normally distributed.

_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:

       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'.  

  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. 

description: a character string, assigning a brief description to the
          returned object. 

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

     returns an object of class 'fHTEST'.

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

     Diethelm Wuertz for this 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.

     Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); _Portfolio
     Optimization with R/Rmetrics_,  Rmetrics eBook, Rmetrics
     Association and Finance Online, Zurich.

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

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

