Normality testing for a long-memory sequence using the empirical moment generating function

DOI10.1016/j.jspi.2012.10.016zbMath1428.62175OpenAlexW2015530357MaRDI QIDQ1937205

Sucharita Ghosh

Publication date: 28 February 2013

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.10.016

zbMATH Keywords

Hermite polynomialsgoodness-of-fit testslong-range dependenceGaussian subordinationnormality testingempirical moment generating function

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15) Stationary stochastic processes (60G10)

Related Items

A random-projection based test of Gaussianity for stationary processes ⋮ On a test of normality based on the empirical moment generating function ⋮ The probability weighted characteristic function and goodness-of-fit testing ⋮ On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications ⋮ The credibility premiums based on estimated moment-generating function ⋮ Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models ⋮ New results on the Ristić–Balakrishnan family of distributions ⋮ Fourier–type tests involving martingale difference processes ⋮ Tests for time series of counts based on the probability-generating function

Uses Software

• longmemo

Cites Work

• The empirical process of some long-range dependent sequences with an application to U-statistics
• Estimation in the three-parameter inverse Gaussian distribution
• A Kolmogorov-Smirnov type test for skew normal distributions based on the empirical moment generating function
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Testing that a stationary time series is Gaussian
• Limit behaviour of the empirical characteristic function
• The Brunn-Minkowski inequality in Gauss space
• The empirical characteristic function and its applications
• A multivariate version of Ghosh's \(T_{3}\)-plot to detect non-multinormality.
• Central limit theorem for the empirical process of a linear sequence with long memory
• The FEXP estimator for potentially non-stationary linear time series.
• Testing for normality in arbitrary dimension
• On estimating the cumulant generating function of linear processes
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• On statistical transform methods and their efficiency
• On the empirical saddlepoint approximation
• The studentized empirical characteristic function and its application to test for the shape of distribution
• A test of separate families of distributions based on the empirical moment generating function
• Slowly Decaying Correlations, Testing Normality, Nuisance Parameters
• Applications of empirical characteristic functions in some multivariate problems
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Estimation in the three-parameter gamma distribution based on the empirical moment generation function
• Theory & Methods: Estimating the parameters of Poisson‐exponential models
• RELIABILITY STUDIES OF THE SKEW-NORMAL DISTRIBUTION AND ITS APPLICATION TO A STRENGTH-STRESS MODEL
• GOODNESS-OF-FIT TESTS FOR THE SKEW-NORMAL DISTRIBUTION
• Testing the Fit of Gamma Distributions Using the Empirical Moment Generating Function
• A test for normality based on the empirical characteristic function
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item