[R] test for whether dataset comes from a known MVN

[Ben Bolker]

Campbell, Desmond wrote:
> 
> Dear all,
> 
>  
> 
> I have a multivariate dataset containing 100,000 or more points.
> 
> I want find the p-value for the dataset of points coming from a
> particular multivariate normal distribution
> 
> With
> 
> mean vector u
> 
> Covariance matrix s2
> 
> So
> 
> H0: points ~ MVN( u, s2)
> 
> H1: points not ~ MVN( u, s2)
> 
> How do I find the p-value in R?
> 
>  
> 

   Googling for "Shapiro-Wilk multivariate" brings up mshapiro.test()
in the mvnormtest package.  However, I would strongly suspect that
if your data are from the real world that you will reject the null
hypothesis
of multivariate normality when you have 100,000 points -- the power
to detect tiny (unimportant?) deviations from MVN will be very high.

  cheers
    Ben Bolker


-- 
View this message in context: http://www.nabble.com/test-for-whether-dataset-comes-from-a-known-MVN-tf4607009.html#a13155278
Sent from the R help mailing list archive at Nabble.com.