A robustified Jarque-Bera test for multivariate normality

DOI10.1016/J.ECONLET.2016.01.007zbMATH Open1398.62143OpenAlexW2257789940MaRDI QIDQ1668142FDOQ1668142

Authors: 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

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zbMATH Keywords

multivariate normalitygoodness of fit testMardia's testJarque-Bera testpower comparison

Mathematics Subject Classification ID

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

Cites Work

• A Generalization of Shapiro–Wilk's Test for Multivariate Normality
• Title not available (Why is that?)
• Invariant tests for multivariate normality: A critical review
• A class of invariant consistent tests for multivariate normality
• Some p-variate adaptations of the shapiro-wilk test of normality
• 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
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• A robust modification of the Jarque-Bera test of normality
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• A Bivariate Model for the Distribution of √b 1 and b 2
• An analysis of variance test for normality (complete samples)
• On the correct use of omnibus tests for normality
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• TESTS OF SIGNIFICANCE IN MULTIVARIATE ANALYSIS
• Statistics in industry
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• Some Techniques for Assessing Multivarate Normality Based on the Shapiro- Wilk W
• Tests for departure from normality: Comparison of powers
• Title not available (Why is that?)
• Title not available (Why is that?)
• A comparative study of goodness-of-fit tests for multivariate normality
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Cited In (12)

• Small sample robust testing for normality against Pareto tails
• A necessary Bayesian nonparametric test for assessing multivariate normality
• On Jarque-Bera tests for assessing multivariate normality
• A note on the rubustness of the lilliefors test for univariate normality with respect to equicorrelated data
• A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function
• Modified Jarque-Bera type tests for multivariate normality in a high-dimensional framework
• Multivariate normality tests for serially correlated data
• A robust modification of the Jarque-Bera test of normality
• Tests for multivariate normality -- a critical review with emphasis on weighted \(L^2\)-statistics
• Joint tests of contagion with applications
• Are You All Normal? It Depends!
• Normality test for multivariate conditional heteroskedastic dynamic regression models

Uses Software

• mvShapiroTest

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