A robustified Jarque-Bera test for multivariate normality

Kim, Namhyun

doi:10.1016/j.econlet.2016.01.007

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A robustified Jarque-Bera test for multivariate normality

Kim, Namhyun

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22

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27

초록

The Jarque-Bera test and its modifications for univariate normality are generalized to multivariate versions using orthogonalization or an empirical standardization of data. Each modification has strength against some alternative distributions, and all modified test statistics show comparable power to the multivariate Jarque-Bera test. (C) 2016 Elsevier B.V. All rights reserved.

키워드

Goodness of fit test; Jarque-Bera test; Mardia's test; Multivariate normality; Power comparison; SQUARE-ROOT B1; OF-FIT TESTS; VARIANCE TEST; OMNIBUS TEST; KURTOSIS; SKEWNESS; UNIVARIATE; DEPARTURE

제목: A robustified Jarque-Bera test for multivariate normality

저자: Kim, Namhyun

DOI: 10.1016/j.econlet.2016.01.007

발행일: 2016-03

유형: Article

저널명: Economics Letters

권: 140

페이지: 48 ~ 52