Pseudomedian in robustification of Jarque-Bera test of normality

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F17%3A43911797" target="_blank" >RIV/62156489:43110/17:43911797 - isvavai.cz</a>
Result on the web
<a href="http://fim2.uhk.cz/mme/conferenceproceedings/mme2017_conference_proceedings.pdf" target="_blank" >http://fim2.uhk.cz/mme/conferenceproceedings/mme2017_conference_proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Pseudomedian in robustification of Jarque-Bera test of normality
Original language description
The assumption of normal distribution of a random variable plays an important role in various fields of science. It is also one of the most common assumptions made in the development and use of the common statistical techniques such as t-test or F-test. It is necessary to verify the assumption of normality when solving practical tasks. Currently, the most popular omnibus test of normality for a general use is the Shapiro-Wilk test. The Jarque-Bera test is the most widely adopted omnibus test of normality in econometrics, finance and related fields. Finally, the Lilliefors test is a representative test based on the comparison of theoretical and empirical distribution function. As outliers in the data sets in the field of economics and finance are frequently present, the Jarque-Bera test is not sufficiently robust, since it is based on the classical characteristics of skewness and kurtosis and has a zero breakdown point. Consequently, the aim of this paper is to derive robust tests of normality that belong to the RT class tests using pseudomedian in the construction of test statistics, and to highlight the benefits of its use in testing normality in the datasets where outliers are present.
Czech name
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Czech description
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Project
<a href="/en/project/GA16-07089S" target="_blank" >GA16-07089S: Robust approach to testing for normality of error terms in econometric models</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical Methods in Economics 2017: Conference Proceedings
ISBN
978-80-7435-678-0
ISSN
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e-ISSN
neuvedeno
Number of pages
6
Pages from-to
738-743
Publisher name
Univerzita Hradec Králové
Place of publication
Hradec Králové
Event location
Hradec Králové
Event date
Sep 13, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000427151400126

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