Multivariate normality tests


#1

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


#2

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


#3

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?


#4

There is HypothesisTests.JarqueBeraTest

See also this PR


#5

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.