st: multivariate normal distribution tests (was Wishart distribution)

 From "Stephen P Jenkins" To Subject st: multivariate normal distribution tests (was Wishart distribution) Date Thu, 15 Apr 2004 15:23:37 +0100

```> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
> FEIVESON, ALAN H. (AL) (JSC-SK) (NASA)
> Sent: 15 April 2004 14:08
> To: 'statalist@hsphsun2.harvard.edu'
> Subject: st: RE: Wishart distribution
>
>
> Naji - I assume that all you have is S, not the original data
> - otherwise you could test if the original data is
> distributed as multivariate Normal. Is this the case? Al Feiveson

Al et al.,

how would you test for multivariate normality?  Do you have some
I am aware of some conditional moment tests for univariate normality,
but am not aware of multivariate tests.

thanks
Stephen
-------------------------------------------------------------
Professor Stephen P. Jenkins <stephenj@essex.ac.uk>
Institute for Social and Economic Research
University of Essex, Colchester CO4 3SQ, U.K.
Tel: +44 1206 873374.  Fax: +44 1206 873151.
http://www.iser.essex.ac.uk

>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Naji Nassar
> (MIReS)
> Sent: Thursday, April 15, 2004 7:34 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Wishart distribution
>
>
> Hi all,
>
> Some question about covariance matrix and Wishart dist.
> I've a theorical covariance matrix S.
> Suppose X RandomNormal(N,p)*CholDecomposition(S) a random
> correlated variable.
> - What is the theoretical distribution of X covariance
> (Wishart(S,nobs)?)
> - How can I test whether an observed covariance (from a
> sample size) follow the theoretical distribution.
>
> Thanks & Best Regards
> Naji
>
>
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