*** Provided by Instructor Ruey S. Tsay
*** University of Chicago
***
***
*** Splus commands used to generate chi-square QQ-plot 
*** for checking multivariate normality assumption.
***
*** Data setis denoted by "da".
> nr = dim(da)[1]
> nc = dim(da)[2]
> cm=matrix(colMeans(da),1,nc)  <== Obtain the sample means
> o=matrix(rep(1,nr),nr,1)
> dev=da-kronecker(o,cm)       <== Remove sample means from data
> s=t(dev)%*%dev               <== Sample covariance matrix
> si=ginverse(s)
> d2=sort(diag(dev%*%si%*%t(dev)))  <== Compute and sort the squared distance
> prob=(c(1:nr)-0.5)/nr
> q1=qchisq(prob,nr)   <=== Obtain quantiles of Chi-square dist.
> plot(q1,d2)
*** May add a straightline to the plot
> fit = lsfit(q1,d2)
> fitted = d2-fit$residuals
> lines(q1,fitted)