Testing for Multivariate Normality

February 15, 2015
By

(This article was first published on Econometrics Beat: Dave Giles' Blog, and kindly contributed to R-bloggers)

The assumption that multivariate data are (multivariate) normally distributed is central to many statistical techniques. The need to test the validity of this assumption is of paramount importance, and a number of tests are available.
A recently released R package, MVN, by Korkmaz et al. (2014) brings together several of these procedures in a friendly and accessible way. Included are the tests proposed by Mardia, Henze-Zirkler, and Royston, as well as a number of useful graphical procedures.
If for some inexplicable reason you’re not a user of R, the authors have thoughtfully created a web-based application just for you!


Reference

Korkmaz, S., D. Goksuluk, and G. Zarasiz
, 2014. An R package for assessing multivariate normality. The R Journal, 6/2, 151-162.

© 2014, David E. Giles

To leave a comment for the author, please follow the link and comment on their blog: Econometrics Beat: Dave Giles' Blog.

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