Behaviour of skewness, kurtosis and normality tests in long memory data

DOI10.1007/S10260-009-0124-1zbMATH Open1332.62041OpenAlexW2038734509MaRDI QIDQ257542FDOQ257542

Authors: Mohamed Boutahar 

Publication date: 17 March 2016

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-009-0124-1

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zbMATH Keywords

kurtosisskewnessHermite polynomialsJarque-Bera normality testlong memory data

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10)

Cites Work

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• A Test for Normality of Observations and Regression Residuals
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• Weak convergence to fractional brownian motion and to the rosenblatt process
• A comparison of various tests of normality
• Blind identification using the kurtosis with applications to field data
• The detection and estimation of long memory in stochastic volatility
• Identification of long memory in GARCH models
• On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
• A robust modification of the Jarque-Bera test of normality
• Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
• CLT and other limit theorems for functionals of Gaussian processes
• Title not available (Why is that?)
• Goodness-of-fit tests for correlated data
• Non-central limit theorems for non-linear functional of Gaussian fields
• An analysis of variance test for normality (complete samples)
• A SIMPLE TEST OF NORMALITY FOR TIME SERIES
• A Test of Goodness of Fit
• Tests for departure from normality in the case of linear stochastic processes
• Seasonal nonlinear long memory model for the US inflation rates

Uses Software

• longmemo

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