A robustified Jarque-Bera test for multivariate normality

DOI10.1016/J.ECONLET.2016.01.007MaRDI QIDQ1668142zbMATH OpenOpenAlexFDO

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

multivariate normality goodness of fit test Mardia's test Jarque-Bera test power comparison

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

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

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
A robust modification of the Jarque-Bera test of normality
Multivariate normality tests for serially correlated data
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

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mvShapiroTest

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