Sunday, February 15, 2015

Testing for Multivariate Normality

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.


© 2015, David E. Giles

3 comments:

  1. After installing the package I did the library(MVN) and got the following error:

    Error in loadNamespace(i, c(lib.loc, .libPaths()), versionCheck = vI[[i]]) :
    there is no package called ‘digest’
    Error: package or namespace load failed for ‘MVN’

    Is this usual?

    ReplyDelete
    Replies
    1. I have no problems with it. Why not contact the authors of the package?

      Delete
  2. You can try to install the missing digest package using the following R code:

    install.packages("digest")

    Then try to install MVN package again:

    install.packages("MVN")

    I hope this helps.

    ReplyDelete