MNTEST <data>,<output_line>
tests whether the active part of <data> is a random sample from
a multivariate normal distribution.
By default the multivariate measures of skewness and kurtosis
presented by Mardia (1970) are computed and asymptotic test statistics
related to them as well as their P values are presented.
The test statistics are computed through principal components of the
data. The actual dimension m of the distribution is determined
by the sizes of eigenvalues. The proportion of the last
accepted eigenvalue to the largest should exceed the value given by
a specification EPS=<value> (default is EPS=1e-10).
Since P values of Mardia's tests can be far from truth on small sample
sizes, a sucro /MSKEW determines them by simulation.
By specification TEST=MAHAL,<k>
Mahanobis' distances of each observation from the mean are computed
after determining the true dimesionality (say m) of data (by EPS).
If data is a (large) sample from a multivariate normal distribution,
these distances have an approximate chi^2 distribution with m degrees
of freedom. This is tested by transforming the distances to uniform
distribution on (0,1) by the distribution function of chi^2 and
counting the # of observations in each of the <k> (default 10) subintervals.
The uniformity of this frequency distribution is tested by the X^2 test
and by the Kolmogorov-Smirnov test.
By specification TEST=CUBE,<k>
the data is mapped into a m-dimensional hypercube by computing principal
components and transforming them into uniformly distributed values on
(0,1). The dimension m is determined in the same way as in Mardia's
tests. Thus in large multivariate normal samples the transformed data values are
independently and uniformly distributed in the hypercube.
For each observation, the maximum and minimum values (xmax and xmin) of
m standardized (variance=1) principal component values are computed and
and the observation is classified in two ways. In the first
classification, it belongs to class # 1+int(k*F(xmax)^m) and in the second
classification to class # 1+int(k*F(-xmin)^m) where F is the distribution
function of the normal distribution. This means that in both
classifications the frequencies should be distributed unformly in <k>
classes (default is 10). Appropriate X^2 test is performed on this basis.
Also the Kolmogorov-Smirnov test is made on the max and min values
of the transformed data.
1 = More information on additional multivariate operations
M = More information on multivariate analysis
Help System (web edition)