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A robustified Jarque-Bera test for multivariate normality
- Authors
- Kim, Namhyun
- Issue Date
- Mar-2016
- Publisher
- ELSEVIER SCIENCE SA
- Keywords
- Goodness of fit test; Jarque-Bera test; Mardia' s test; Multivariate normality; Power comparison
- Citation
- ECONOMICS LETTERS, v.140, pp.48 - 52
- Journal Title
- ECONOMICS LETTERS
- Volume
- 140
- Start Page
- 48
- End Page
- 52
- ISSN
- 0165-1765
- Abstract
- 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.
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Related Researcher
- Kim, Nam hyun
- Engineering (Applied Science)