[R] multivariate normality test

From: Remigijus Lapinskas <remigijus.lapinskas_at_mif.vu.lt>
Date: Fri 30 Jun 2006 - 00:37:44 EST


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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