Hello,
Could someone help me to explain the VERY big difference in applying two
tests on multivariate normality:
library(mvnormtest)
data(EuStockMarkets)
mshapiro.test(t(EuStockMarkets[15:29,1:4]))
Shapiro-Wilk normality test
data: Z
W = 0.8161, p-value = 0.005955
and
library(energy)
mvnorm.etest( EuStockMarkets[15:29,1:4] )
Energy test of multivariate normality: estimated parameters
data: x, sample size 15, dimension 4, replicates 999
E-statistic = 1.0041, p-value = 0.2482
Many thanks,
Rem
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