Simple tests for peakedness, fat tails and leptokurtosis based on quantiles

DOI10.1016/S0167-9473(02)00170-6zbMATH Open1429.62073OpenAlexW1997583359MaRDI QIDQ951900FDOQ951900

Mark Trede, Friedrich Schmid

Publication date: 4 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(02)00170-6

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zbMATH Keywords

heavy tails\(\alpha \)-robustnessreturn distributionselector statisticsvalidity robustness

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Cites Work

• Approximation Theorems of Mathematical Statistics
• Modeling asset returns with alternative stable distributions^*
• Adaptive Robust Procedures: A Partial Review and Some Suggestions for Future Applications and Theory
• Some Properties of the Range in Samples from Tukey's Symmetric Lambda Distributions
• A review of some adaptive statistical techniques
• On the asymptotic behaviour of selector statistics
• A New Family of Probability Distributions With Applications to Monte Carlo Studies
• Title not available (Why is that?)

Cited In (8)

• On some properties of Kies distribution
• Robust measures of tail weight
• Inference for quantile measures of kurtosis, peakedness, and tail weight
• Measuring Kurtosis by Right and Left Inequality Orders
• Max-type rank tests, \(U\)-tests, and adaptive tests for the two-sample location problem -- an asymptotic power study
• Tail-Adaptive Location Rank Test for the Generalized Secant Hyperbolic Distribution
• Right and left kurtosis measures: large sample estimation and an application to financial returns
• Title not available (Why is that?)

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