About: Small Sample Robust Testing for Normality against Pareto Tails

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The aim of this article is to introduce the general form (so called RT class) of the robust and classical Jarque–Bera (JB) test based on the location functional. We introduce the two-step procedure which is optimal for testing against the individual or contaminated Pareto alternative. As a reference for such a contamination we consider different Pareto distributions. We also give practical guidelines for robust testing for normality against short- and heavy-tailed alternatives. We concentrate mainly on simulation results for moderate and small samples. However, we also prove consistency and asymptotic distribution for introduced tests. We show that as the suitable measure of nominal level of Pareto tail parameter we may take the t- Hill estimator introduced in the article. To guarantee the consistency of the whole procedure, we also prove the consistency of t-Hill estimator. The introduced general class of robust tests of the normality is illustrated at the selected datasets of financial time series. The aim of this article is to introduce the general form (so called RT class) of the robust and classical Jarque–Bera (JB) test based on the location functional. We introduce the two-step procedure which is optimal for testing against the individual or contaminated Pareto alternative. As a reference for such a contamination we consider different Pareto distributions. We also give practical guidelines for robust testing for normality against short- and heavy-tailed alternatives. We concentrate mainly on simulation results for moderate and small samples. However, we also prove consistency and asymptotic distribution for introduced tests. We show that as the suitable measure of nominal level of Pareto tail parameter we may take the t- Hill estimator introduced in the article. To guarantee the consistency of the whole procedure, we also prove the consistency of t-Hill estimator. The introduced general class of robust tests of the normality is illustrated at the selected datasets of financial time series. (en)
Title	Small Sample Robust Testing for Normality against Pareto Tails Small Sample Robust Testing for Normality against Pareto Tails (en)
skos:prefLabel	Small Sample Robust Testing for Normality against Pareto Tails Small Sample Robust Testing for Normality against Pareto Tails (en)
skos:notation	RIV/67985807:_____/12:00376157!RIV13-AV0-67985807
http://linked.open...avai/predkladatel	Ústav informatiky AV ČR, v.v.i.
http://linked.open...avai/riv/aktivita	V Z
http://linked.open...avai/riv/aktivity	V, Z(AV0Z10300504)
http://linked.open...iv/cisloPeriodika	7
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Fabián, Zdeněk
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav informatiky AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	168562
http://linked.open...ai/riv/idVysledku	RIV/67985807:_____/12:00376157
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	consistency; Hill estimator; t-Hill estimator; location functional; Pareto tail; power comparison; returns; robust tests for normality (en)
http://linked.open.../riv/klicoveSlovo	consistency Hill estimator Pareto tail location functional robust tests for normality t-Hill estimator returns power comparison
http://linked.open...odStatuVydavatele	US - Spojené státy americké
http://linked.open...ontrolniKodProRIV	[958C302185B9]
http://linked.open...i/riv/nazevZdroje	Communications in Statistics - Simulation and Computation and Communications in Statistics Part B - Simulation and Computation
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...UplatneniVysledku	2012
http://linked.open...v/svazekPeriodika	41
http://linked.open...iv/tvurceVysledku	Fabián, Zdeněk Stehlík, M. Střelec, L.
http://linked.open...ain/vavai/riv/wos	000304853800018
http://linked.open...n/vavai/riv/zamer	Informatika pro informační společnost: modely, algoritmy, aplikace
issn	0361-0918
number of pages	28 (xsd:int)
http://bibframe.org/vocab/doi	10.1080/03610918.2012.625849
is http://linked.open...avai/riv/vysledek of	Small Sample Robust Testing for Normality against Pareto Tails

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