Notes on robustness of RT class tests for normality
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F19%3A43915944" target="_blank" >RIV/62156489:43110/19:43915944 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1063/1.5114416" target="_blank" >https://doi.org/10.1063/1.5114416</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1063/1.5114416" target="_blank" >10.1063/1.5114416</a>
Alternative languages
Result language
angličtina
Original language name
Notes on robustness of RT class tests for normality
Original language description
The assumption of normal distribution of a random variable plays an important role in various fields of science. The Jarque-Bera test is the most widely adopted omnibus test of normality in econometrics, finance and related fields. 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 value. Thus, the Jarque-Bera test is very sensitive to small deviations from normality, e.g. presence of outliers. In this contribution, we introduce the general RT class of robust tests for normality which is less sensitive to small deviations from normality, particularly in the form of a few outliers. We also present and discuss the trade-off between power and robustness of selected classical and robust normality tests of random variables where outliers could be presented.
Czech name
—
Czech description
—
Classification
Type
D - Article in proceedings
CEP classification
—
OECD FORD branch
10103 - Statistics and probability
Result continuities
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)
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the International Conference of Numerical Analysis and Applied Mathematics (ICNAAM 2018)
ISBN
978-0-7354-1854-7
ISSN
0094-243X
e-ISSN
1551-7616
Number of pages
4
Pages from-to
400002
Publisher name
American Institute of Physics (AIP)
Place of publication
Melville
Event location
Rhodos
Event date
Sep 13, 2018
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000521108600400