Multivariate normality tests

anriseth · January 15, 2018, 3:21pm

Are there any packages for running multivariate normality tests on data in the Juliaverse?
I am looking for something along the lines of the R package MVN

andreasnoack · January 18, 2018, 6:40pm

I actually implemented the Doornik-Hansen test in my Civecm package so it is well hidden. It should probably be migrated to HypothesisTests.

albz.uk · November 25, 2018, 11:29pm

Following up your discussion, I have always found very useful the Shapiro-Wilks normality test. Are you aware if it has already been implemented and eventually in which package?

Nosferican · November 26, 2018, 2:45am

There is HypothesisTests.JarqueBeraTest

See also this PR

albz.uk · November 26, 2018, 10:04am

For the cases I analysed the jarque - Brera didn’t seem to effective, this is why I selected ShapiroWilks hypothesis test. Worth trying again, thanks.

I will also contribute to the open requests for the SW test since it has already been tested effectively under the python environment.