Robust directed tests of normality against heavy-tailed alternatives

DOI10.1016/J.CSDA.2006.08.022MaRDI QIDQ1019899zbMATH OpenOpenAlexFDO

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

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

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

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• Statistical properties of a measure of tax assessment uniformity
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Cited in

(17)

• A new empirical likelihood ratio goodness of fit test for normality based on moment constraints
• Small sample robust testing for normality against Pareto tails
• Test of normality against generalized exponential power alternatives
• 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
• Nonparametric bootstrapping for hierarchical data
• Asymptotic power of tests of normality under local alternatives
• Methods to distinguish between polynomial and exponential tails
• A robust alternative to the Lilliefors test of normality
• A Correlation Test for Normality Based on the Lévy Characterization
• Penalized power properties of the normality tests in the presence of outliers
• A robust modification of the Jarque-Bera test of normality
• Geometric aspects of robust testing for normality and sphericity
• Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
• A ratio goodness-of-fit test for the Laplace distribution
• An empirical power comparison of univariate goodness-of-fit tests for normality
• Goodness-of-fit tests for Laplace, Gaussian and exponential power distributions based on λ-th power skewness and kurtosis
• Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap

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Uses Software

• ProbForecastGOP

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