Robust directed tests of normality against heavy-tailed alternatives

DOI10.1016/j.csda.2006.08.022zbMath1161.62360OpenAlexW2065598626MaRDI QIDQ1019899

Joseph L. Gastwirth, Yulia R. Gel, Weiwen Miao

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.08.022

zbMATH Keywords

powertests of normalityShapiro-Wilk testgraphical check of normalityrobust estimators of scale

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Graphical methods in statistics (62A09)

Related Items (16)

Goodness-of-fit tests for Laplace, Gaussian and exponential power distributions based on λ-th power skewness and kurtosis ⋮ A powerful and interpretable alternative to the Jarque–Bera test of normality based on 2nd-power skewness and kurtosis, using the Rao's score test on the APD family ⋮ Test of Normality Against Generalized Exponential Power Alternatives ⋮ A ratio goodness-of-fit test for the Laplace distribution ⋮ A new empirical likelihood ratio goodness of fit test for normality based on moment constraints ⋮ Penalized power properties of the normality tests in the presence of outliers ⋮ A robust modification of the Jarque-Bera test of normality ⋮ Nonparametric bootstrapping for hierarchical data ⋮ Geometric aspects of robust testing for normality and sphericity ⋮ Small Sample Robust Testing for Normality against Pareto Tails ⋮ Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes ⋮ Asymptotic power of tests of normality under local alternatives ⋮ An empirical power comparison of univariate goodness-of-fit tests for normality ⋮ Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap ⋮ A Correlation Test for Normality Based on the Lévy Characterization ⋮ Methods to Distinguish Between Polynomial and Exponential Tails

Uses Software

• ProbForecastGOP

Cites Work

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