assetsTest {fAssets} | R Documentation |
Tests if the returns of a set of assets are normally distributed.
assetsTest(x, method = c("shapiro", "energy"), Replicates = 100, title = NULL, description = NULL)
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. |
returns an object of class fHTEST
.
Diethelm Wuertz for this Rmetrics port.
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.
## LPP - LPP = as.timeSeries(data(LPP2005REC))[, 1:6] colnames(LPP) # Multivariate Shapiro Test: assetsTest(LPP, "shapiro") # Multivariate Energy Test: assetsTest(LPP, "energy")