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

被引：0

作者：

Guy Brys

Mia Hubert

Anja Struyf

机构：

[1] Directorate-General Statistics Belgium,FPS Economy

[2] Katholieke Universiteit Leuven (KULeuven),Department of Mathematics and UCS

[3] University of Antwerp (UA),Department of Mathematics and Computer Sciences

来源：

Computational Statistics | 2008年 / 23卷

关键词：

Tail weight; Robustness; Jarque–Bera test;

D O I：

暂无

中图分类号：

学科分类号：

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：13

共 19 条

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[3] Brys G(2006)Robust measures of tail weight Comput Stat Data Anal 50 733-759
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[8] Struyf A(1968)Probability plotting methods for the analysis of data Biometrika 33 1-17
[9] Davidson R(undefined)undefined undefined undefined undefined-undefined
[10] MacKinnon JG(undefined)undefined undefined undefined undefined-undefined

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