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Robust measures of tail weight

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  • Brys, Guy
  • Hubert, Mia
  • Struyf, Anja

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  • Brys, Guy & Hubert, Mia & Struyf, Anja, 2006. "Robust measures of tail weight," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 733-759, February.
    • Handle: RePEc:eee:csdana:v:50:y:2006:i:3:p:733-759
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    References listed on IDEAS

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    1. Bonett, Douglas G. & Seier, Edith, 2002. "A test of normality with high uniform power," Computational Statistics & Data Analysis, Elsevier, vol. 40(3), pages 435-445, September.
    2. BRYS, Guy & HUBERT, Mia & STRUYF ,Anja, 2004. "Goodness-of-fit tests based on a robust measure of skewness," Working Papers 2004018, University of Antwerp, Faculty of Business and Economics.
    3. Schmid, Friedrich & Trede, Mark, 2003. "Simple tests for peakedness, fat tails and leptokurtosis based on quantiles," Computational Statistics & Data Analysis, Elsevier, vol. 43(1), pages 1-12, May.
    4. J. J. A. Moors & R. Th. A. Wagemakers & V. M. J. Coenen & R. M. J. Heuts & M. J. B. T. Janssens, 1996. "Characterizing systems of distributions by quantile measures," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 50(3), pages 417-430, November.
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    Cited by:

    1. An, Hyowon & Zhang, Kai & Oja, Hannu & Marron, J.S., 2023. "Variable screening based on Gaussian Centered L-moments," Computational Statistics & Data Analysis, Elsevier, vol. 179(C).
    2. Valeria Bignozzi & Andreas Tsanakas, 2016. "Parameter Uncertainty and Residual Estimation Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 949-978, December.
    3. Alexander, Carol & Cordeiro, Gauss M. & Ortega, Edwin M.M. & Sarabia, José María, 2012. "Generalized beta-generated distributions," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1880-1897.
    4. Czesław Domański & Piotr Szczepocki, 2020. "Comparison of selected tests for univariate normality based on measures of moments," Statistics in Transition New Series, Polish Statistical Association, vol. 21(5), pages 151-178, December.
    5. Simon Xu & Inchang Hwang & Francis In, 2016. "The Effect of Diversification on Tail Risk: Evidence from US Equity Mutual Fund Portfolios," International Review of Finance, International Review of Finance Ltd., vol. 16(3), pages 483-495, September.
    6. Rafał Wyszomierski & Piotr Bórawski & Lisa Holden & Aneta Bełdycka-Bórawska & Tomasz Rokicki & Andrzej Parzonko, 2024. "The Trade of Woody Biomass in the Context of Environmental Economics in Poland," Energies, MDPI, vol. 17(19), pages 1-31, September.
    7. Barrera, Carlos, 2022. "Characterizing the Anchoring Effects of Official Forecasts on Private Expectations," MPRA Paper 114258, University Library of Munich, Germany.
    8. Frank Critchley & M. C. Jones, 2008. "Asymmetry and Gradient Asymmetry Functions: Density‐Based Skewness and Kurtosis," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 415-437, September.
    9. Liu, Xiaochun, 2019. "On tail fatness of macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 62(C).
    10. Ordás Criado, C. & Grether, J.-M., 2011. "Convergence in per capita CO2 emissions: A robust distributional approach," Resource and Energy Economics, Elsevier, vol. 33(3), pages 637-665, September.
    11. Yves Dominicy & David Veredas, 2010. "The method of simulated quantiles," Working Papers ECARES 2010-008, ULB -- Universite Libre de Bruxelles.
    12. Guy Brys & Mia Hubert & Anja Struyf, 2008. "Goodness-of-fit tests based on a robust measure of skewness," Computational Statistics, Springer, vol. 23(3), pages 429-442, July.
    13. Hubert, M. & Vandervieren, E., 2008. "An adjusted boxplot for skewed distributions," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5186-5201, August.

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