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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국통계학회 CSAM(Communications for Statistical Applications and Methods) CSAM(Communications for Statistical Applications and Methods) 제28권 제5호
- 발행연도
- 2021.9
- 수록면
- 463 - 475 (13page)
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초록· 키워드
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Desgagné and de Micheaux (2018) proposed an alternative univariate normality test to the Jarque-Bera test. The proposed statistic is based on the sample second power skewness and kurtosis while the Jarque-Bera statistic uses sample Pearson’s skewness and kurtosis that are the third and fourth standardized sample moments, respectively. In this paper, we generalize their statistic to a multivariate version based on orthogonalization or an empirical standardization of data. The proposed multivariate statistic follows chi-squared distribution approximately. A simulation study shows that the proposed statistic has good control of type I error even for a very small sample size when critical values from the approximate distribution are used. It has comparable power to the multivariate version of the Jarque-Bera test with exactly the same idea of the orthogonalization. It also shows much better power for some mixed normal alternatives.
목차
Abstract
1. Introduction
2. Test statistics
3. Example and simulation study
4. Conclusions
References
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