A robustified Jarque-Bera test for multivariate normality

DOI10.1016/j.econlet.2016.01.007zbMath1398.62143OpenAlexW2257789940MaRDI QIDQ1668142

Nam Hyun Kim

Publication date: 3 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.01.007

zbMATH Keywords

multivariate normalitygoodness of fit testJarque-Bera testpower comparisonMardia's test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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Uses Software

• mvShapiroTest

Cites Work

• A Generalization of Shapiro–Wilk's Test for Multivariate Normality
• A comparative study of goodness-of-fit tests for multivariate normality
• On the correct use of omnibus tests for normality
• Statistics in industry
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• Invariant tests for multivariate normality: A critical review
• A robust modification of the Jarque-Bera test of normality
• Some Techniques for Assessing Multivarate Normality Based on the Shapiro- Wilk W
• A class of invariant consistent tests for multivariate normality
• A Bivariate Model for the Distribution of √b 1 and b 2
• Tests for departure from normality: Comparison of powers
• Some p-variate adaptations of the shapiro-wilk test of normality
• Small Sample Robust Testing for Normality against Pareto Tails
• An analysis of variance test for normality (complete samples)
• On tests for multivariate normality and associated simulation studies
• A Monte Carlo comparison of the Type I and Type II error rates of tests of multivariate normality
• Measures of multivariate skewness and kurtosis with applications
• TESTS OF SIGNIFICANCE IN MULTIVARIATE ANALYSIS
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