Goodness-of-fit tests based on a robust measure of skewness

被引：36

作者：

Brys, Guy ^{[2
]}

Hubert, Mia ^{[1
,4
]}

Struyf, Anja ^{[3
]}

机构：

[1] Katholieke Univ Leuven, Dept Math, B-3001 Leuven, Belgium

[2] Directorate Gen Stat Belgium, FPS Econ, B-1000 Brussels, Belgium

[3] Univ Antwerp, Dept Math & Comp Sci, B-2020 Antwerp, Belgium

[4] Katholieke Univ Leuven, UCS, B-3001 Leuven, Belgium

来源：

COMPUTATIONAL STATISTICS | 2008年 / 23卷 / 03期

关键词：

tail weight; robustness; Jarque-Bera test;

D O I：

10.1007/s00180-007-0083-7

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：429 / 442

页数：14

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