Notes on robustness of RT class tests for normality

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Notes on robustness of RT class tests for normality

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Notes on robustness of RT class tests for normality

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

—

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

2019

Kód důvěrnosti údajů

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

Název statě ve sborníku

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

Počet stran výsledku

4

Strana od-do

400002

Název nakladatele

American Institute of Physics (AIP)

Místo vydání

Melville

Místo konání akce

Rhodos

Datum konání akce

13. 9. 2018

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000521108600400