这个问题很重要,R中有命令可以对多变量数据进行正态性检验,例子如下:
> library(mvnormtest)
> data(EuStockMarkets)
> EuStockMarkets[1:5,]
DAX SMI CAC FTSE
[1,] 1628.75 1678.1 1772.8 2443.6
[2,] 1613.63 1688.5 1750.5 2460.2
[3,] 1606.51 1678.6 1718.0 2448.2
[4,] 1621.04 1684.1 1708.1 2470.4
[5,] 1618.16 1686.6 1723.1 2484.7
> C <- t(EuStockMarkets[15:29,1:4])
> mshapiro.test(C)
Shapiro-Wilk normality test
data: Z
W = 0.8161, p-value = 0.005955
> R <- t(diff(t(log(C))))
> mshapiro.test(R)
Shapiro-Wilk normality test
data: Z
W = 0.8841, p-value = 0.06641
>
[此贴子已经被作者于2009-2-15 21:10:31编辑过]