Bahadur efficiencies of the Epps-Pulley test for normality

DOI10.1007/S10958-023-06547-2arXiv2106.13962OpenAlexW3175596669MaRDI QIDQ6174445FDOQ6174445

Authors: Bruno Ebner, Norbert Henze 

Publication date: 14 July 2023

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

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.

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)

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Cited In (3)

• Bahadur efficiency for certain goodness-of-fit tests based on the empirical characteristic function
• A new omnibus test of fit based on a characterization of the uniform distribution
• The test of exponentiality based on the mean residual life function revisited

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