On robust testing for normality

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F09%3A00139836" target="_blank" >RIV/62156489:43110/09:00139836 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
On robust testing for normality
Original language description
The aim of this paper is to introduce the general form of the robust Jarque-Bera test to systematize the results from some recent studies on variants of Jarque-Bera tests and give general guidelines for appropriate small sample testing for normality. Particularly, the special cases of this class are the classical Jarque-Bera test, the Jarque-Bera-Urzua test, the robust Jarque-Bera test introduced by Gel and Gastwirth, the Geary's test and Uthoff's test. We prove the asymptotical normality of introducedrobust measures of skewness and kurtosis, together with the consistence of given tests. The introduced test statistics have asymptotically chi-square distribution, as does the Jarque-Bera statistic. Our tests are robust and have higher power than the medcouple tests and classical Jarque-Bera test. The introduced general class of robust tests of the normality is illustrated with selected datasets of financial time series.
Czech name
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Czech description
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Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 6th St. Petersburg Workshop on Simulation
ISBN
978-5-9651-0354-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
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Publisher name
VVM com. Ltd., Ed. by S.M.Ermakov, V.B. Melas and A.N.Pepelyshev
Place of publication
St. Petersburg
Event location
St. Petersburg
Event date
Jun 28, 2009
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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