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Goodness-of-fit tests based on a robust measure of skewness

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  • BRYS, Guy
  • HUBERT, Mia
  • STRUYF ,Anja

Abstract

In this paper we propose several goodness-of-fit tests based on robust measures of skewness and tail weight. They can be seen as generalisations of the Jarque-Bera test (Bera and Jarque, 1981) based on the classical skewness and kurtosis, and as an alternative to the approach of Moors et al. (1996) using quantiles. The power values and the robustness properties of the different tests are investigated by means of simulations and applications on real data. We conclude that MC-LR, one of our proposed tests, shows the best overall power and that it is moderately influenced by outlying values.

Suggested Citation

  • 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.
    • Handle: RePEc:ant:wpaper:2004018
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    Cited by:

    1. J. Beirlant & G. Claeskens & C. Croux & H. Degryse & H. Dewachter & G. Dhaene & J. Dhaene & I. Gijbels & M. Goovaerts & M. Hubert & F. Roodhooft & W. Schouten & M. Willekens, 2005. "Managing Uncertainty: Financial, Actuarial and Statistical Modeling," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(1), pages 23-48.
    2. Brys, Guy & Hubert, Mia & Struyf, Anja, 2006. "Robust measures of tail weight," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 733-759, February.

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