Small Sample Robust Testing for Normality against Pareto Tails

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F12%3A00161427" target="_blank" >RIV/62156489:43110/12:00161427 - isvavai.cz</a>
Alternative codes found
RIV/67985807:_____/12:00376157
Result on the web
<a href="http://www.tandfonline.com/doi/abs/10.1080/03610918.2012.625849" target="_blank" >http://www.tandfonline.com/doi/abs/10.1080/03610918.2012.625849</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/03610918.2012.625849" target="_blank" >10.1080/03610918.2012.625849</a>

Result language
angličtina
Original language name
Small Sample Robust Testing for Normality against Pareto Tails
Original language description
The aim of this article is to introduce the general form (so called RT class) of the robust and classical Jarque-Bera (JB) test based on the location functional. We introduce the two-step procedure which is optimal for testing against the individual or contaminated Pareto alternative. As a reference for such a contamination we consider different Pareto distributions. We also give practical guidelines for robust testing for normality against short- and heavy-tailed alternatives. We concentrate mainly onsimulation results for moderate and small samples. However, we also prove consistency and asymptotic distribution for introduced tests. We show that as the suitable measure of nominal level of Pareto tail parameter we may take the t-Hill estimator introduced in the article. To guarantee the consistency of the whole procedure, we also prove the consistency of t-Hill estimator. The introduced general class of robust tests of the normality is illustrated at the selected datasets of financia
Czech name
—
Czech description
—

Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
—

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical
Communications in Statistics - Simulation and Computation
ISSN
0361-0918
e-ISSN
—
Volume of the periodical
41
Issue of the periodical within the volume
7
Country of publishing house
US - UNITED STATES
Number of pages
28
Pages from-to
1167-1194
UT code for WoS article
304853800018
EID of the result in the Scopus database
—

Similar results(10)