Small sample robust testing for normality against Pareto tails

DOI10.1080/03610918.2012.625849MaRDI QIDQ4905913zbMATH OpenOpenAlexFDO

Authors M. Stehlík, Zdeněk Fabián, Luboš Střelec

Publication date 21 February 2013

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2012.625849

zbMATH Keywords

\(t\)-Hill estimatorconsistencyHill estimatorlocation functionalPareto tailpower comparisonreturnsrobust tests for normalitytesting for normality

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Numerical methods (including Monte Carlo methods) (91G60)

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• scientific article; zbMATH DE number 2209079 (Why is no real title available?)
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Cited in

(14)

• Robust directed tests of normality against heavy-tailed alternatives
• A robustified Jarque-Bera test for multivariate normality
• A robust modification of the Jarque-Bera test of normality
• Robust estimator of conditional tail expectation of Pareto-type distribution
• The harmonic moment tail index estimator: asymptotic distribution and robustness
• The latest advances on the Hill estimator and its modifications
• Geometric aspects of robust testing for normality and sphericity
• Weak properties and robustness of t-Hill estimators
• scientific article; zbMATH DE number 6951363 (Why is no real title available?)
• Tests for multivariate normality based on canonical correlations
• Statistical inference for a general class of distributions with time-varying parameters
• A robust alternative to the Lilliefors test of normality
• Robust estimator of the ruin probability in infinite time for heavy-tailed distributions
• On testing the changes in trends of stock market index and rates

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