A powerful and interpretable alternative to the Jarque–Bera test of normality based on 2nd-power skewness and kurtosis, using the Rao's score test on the APD family

DOI10.1080/02664763.2017.1415311OpenAlexW2780711825MaRDI QIDQ5036333

Pierre Lafaye de Micheaux, Alain Desgagné

Publication date: 23 February 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2017.1415311

zbMATH Keywords

kurtosisskewnessRao's score testLagrange multiplier testnormality testasymmetric power distribution

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Related Items (7)

A comprehensive empirical power comparison of univariate goodness-of-fit tests for the Laplace distribution ⋮ Goodness-of-fit tests for Laplace, Gaussian and exponential power distributions based on λ-th power skewness and kurtosis ⋮ Power analysis of several normality tests: A Monte Carlo simulation study ⋮ Neyman's C(α) test for the shape parameter of the exponential power class ⋮ Graphical comparison of normality tests for unimodal distribution data ⋮ A uniform \(L^1\) law of large numbers for functions of i.i.d. random variables that are translated by a consistent estimator ⋮ New fat-tail normality test based on conditional second moments with applications to finance

Uses Software

• R
• AS 181

Cites Work

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• A Test of Goodness of Fit

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