Pseudomedian in robustification of Jarque-Bera test of normality

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

Pseudomedian in robustification of Jarque-Bera test of normality

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Pseudomedian in robustification of Jarque-Bera test of normality

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GA16-07089S" target="_blank" >GA16-07089S: Robustní přístup testování normality chybového členu v ekonometrických modelech</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

Mathematical Methods in Economics 2017: Conference Proceedings

ISBN

978-80-7435-678-0

ISSN

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e-ISSN

neuvedeno

Počet stran výsledku

6

Strana od-do

738-743

Název nakladatele

Univerzita Hradec Králové

Místo vydání

Hradec Králové

Místo konání akce

Hradec Králové

Datum konání akce

13. 9. 2017

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000427151400126