Small Sample Robust Testing for Normality against Pareto Tails

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/67985807:_____/12:00376157

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Small Sample Robust Testing for Normality against Pareto Tails

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Small Sample Robust Testing for Normality against Pareto Tails

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Communications in Statistics - Simulation and Computation

ISSN

0361-0918

e-ISSN

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Svazek periodika

41

Číslo periodika v rámci svazku

7

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

28

Strana od-do

1167-1194

Kód UT WoS článku

304853800018

EID výsledku v databázi Scopus

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