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st: multivariate normal distribution tests (was Wishart distribution)


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

> -----Original Message-----
> From: [email protected] 
> [mailto:[email protected]] On Behalf Of 
> FEIVESON, ALAN H. (AL) (JSC-SK) (NASA)
> Sent: 15 April 2004 14:08
> To: '[email protected]'
> 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
references please?
I am aware of some conditional moment tests for univariate normality,
but am not aware of multivariate tests.

thanks
Stephen
-------------------------------------------------------------
Professor Stephen P. Jenkins <[email protected]>
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: [email protected]
> [mailto:[email protected]]On Behalf Of Naji Nassar
> (MIReS)
> Sent: Thursday, April 15, 2004 7:34 AM
> To: [email protected]
> 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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