Goodness-of-fit tests based on a robust measure of skewness |
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Authors: | Guy Brys Mia Hubert Anja Struyf |
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Affiliation: | (1) FPS Economy, Directorate-General Statistics Belgium, Leuvenseweg 44, 1000 Brussels, Belgium;(2) Department of Mathematics and UCS, Katholieke Universiteit Leuven (KULeuven), Celestijnenlaan 300 B, 3001 Leuven, Belgium;(3) Department of Mathematics and Computer Sciences, University of Antwerp (UA), Middelheimlaan 1, 2020 Antwerp, Belgium |
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Abstract: | In this paper we propose several goodness-of-fit tests based on robust measures of skewness and tail weight. They can be seen as generalisations of the Jarque–Bera test (Bera and Jarque in Econ Lett 7:313–318, 1981) based on the classical skewness and kurtosis, and as an alternative to the approach of Moors et al. (Stat Neerl 50:417–430, 1996) using quantiles. The power values and the robustness properties of the different tests are investigated by means of simulations and applications on real data. We conclude that MC-LR, one of our proposed tests, shows the best overall power and that it is moderately influenced by outlying values. |
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Keywords: | Tail weight Robustness Jarque– Bera test |
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