Bahadur efficiencies of the Epps-Pulley test for normality

DOI10.1007/S10958-023-06547-2MaRDI QIDQ6174445OpenAlexFDO

Authors Bruno Ebner, Norbert Henze

Publication date 14 July 2023

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2106.13962

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Multivariate analysis (62Hxx) Limit theorems in probability theory (60Fxx)

Abstract: The test for normality suggested by Epps and Pulley (1983) is a serious competitor to tests based on the empirical distribution function. In contrast to the latter procedures, it has been generalized to obtain a genuine affine invariant and universally consistent test for normality in any dimension. We obtain approximate Bahadur efficiencies for the test of Epps and Pulley, thus complementing recent results of Milov{s}evi'c et al. (2021). For certain values of a tuning parameter that is inherent in the Epps--Pulley test, this test outperforms each of its competitors considered in Milov{s}evi'c et al. (2021), over the whole range of six close alternatives to normality.

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Cited in

(5)

• A new omnibus test of fit based on a characterization of the uniform distribution
• On the eigenvalues associated with the limit null distribution of the Epps-Pulley test of normality
• Bahadur efficiency for certain goodness-of-fit tests based on the empirical characteristic function
• Bahadur efficiency of EDF based normality tests when parameters are estimated
• The test of exponentiality based on the mean residual life function revisited

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