Jarque–Bera Test and its Competitors for Testing Normality – A Power Comparison

DOI10.1080/02664760600994539zbMath1119.62334OpenAlexW2142225982MaRDI QIDQ3592662

Thorsten Thadewald, Herbert Büning

Publication date: 13 September 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760600994539

zbMATH Keywords

Monte Carlo simulationcritical valuesgoodness-of-fit testskurtosisskewnesspower comparisonShapiro-Wilk testcontaminated normal distributionKuiper testtests of Kolmogorov-Smirnov and Cramér-von Mises type

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Monte Carlo methods (65C05)

Related Items (26)

Multiplicative parameters and estimators: applications in economics and finance ⋮ 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 ⋮ Comparisons of various types of normality tests ⋮ A truncated Cramér–von Mises test of normality ⋮ On Sample Skewness and Kurtosis ⋮ Penalized power properties of the normality tests in the presence of outliers ⋮ A robust modification of the Jarque-Bera test of normality ⋮ Are You All Normal? It Depends! ⋮ Improved simulated annealing based network model for E-recycling reverse logistics decisions under uncertainty ⋮ Geometric aspects of robust testing for normality and sphericity ⋮ Fitting probability distributions to economic growth: a maximum likelihood approach ⋮ Model-based fuzzy time series clustering of conditional higher moments ⋮ Small Sample Robust Testing for Normality against Pareto Tails ⋮ Statistical power of goodness-of-fit tests based on the empirical distribution function for type-I right-censored data ⋮ Estimating Box-Cox power transformation parameter via goodness-of-fit tests ⋮ Test of fit for a Laplace distribution against heavier tailed alternatives ⋮ Asymptotic power of tests of normality under local alternatives ⋮ An empirical power comparison of univariate goodness-of-fit tests for normality ⋮ Detecting and measuring financial cycles in heterogeneous agents models: an empirical analysis ⋮ Improved omnibus test statistic for normality ⋮ Gibbs sampling approach to regime switching analysis of financial time series ⋮ Projection pursuit based tests of normality with functional data ⋮ A power comparison and simulation study of goodness-of-fit tests ⋮ Robust directed tests of normality against heavy-tailed alternatives ⋮ New fat-tail normality test based on conditional second moments with applications to finance

Cites Work

• Testing normality: a GMM approach
• On the correct use of omnibus tests for normality
• Some Large-Sample Tests for Nonnormality in the Linear Regression Model
• A Simulation Study of One- and Two-Sample Kolmogorov-Smirnov Statistics with a Particular Weight Function
• A Test for Normality of Observations and Regression Residuals
• On the Testing of Regression Disturbances for Normality
• KOLMOGOROV-SMIRNOV- AND CRAMÈR-VON MISES TYPE TWO-SAMPLE TESTS WITH VARIOUS WEIGHT FUNCTIONS
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

This page was built for publication: Jarque–Bera Test and its Competitors for Testing Normality – A Power Comparison