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A robustified Jarque–Bera test for multivariate normality

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  • Kim, Namhyun

Abstract

The Jarque–Bera test and its modifications for univariate normality are generalized to multivariate versions using orthogonalization or an empirical standardization of data. Each modification has strength against some alternative distributions, and all modified test statistics show comparable power to the multivariate Jarque–Bera test.

Suggested Citation

  • Kim, Namhyun, 2016. "A robustified Jarque–Bera test for multivariate normality," Economics Letters, Elsevier, vol. 140(C), pages 48-52.
    • Handle: RePEc:eee:ecolet:v:140:y:2016:i:c:p:48-52
    DOI: 10.1016/j.econlet.2016.01.007
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    References listed on IDEAS

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    1. Srivastava, M. S. & Hui, T. K., 1987. "On assessing multivariate normality based on shapiro-wilk W statistic," Statistics & Probability Letters, Elsevier, vol. 5(1), pages 15-18, January.
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    5. Gel, Yulia R. & Gastwirth, Joseph L., 2008. "A robust modification of the Jarque-Bera test of normality," Economics Letters, Elsevier, vol. 99(1), pages 30-32, April.
    6. Jurgen A. Doornik & Henrik Hansen, 2008. "An Omnibus Test for Univariate and Multivariate Normality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
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    Citations

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    Cited by:

    1. Wanfang Chen & Marc G. Genton, 2023. "Are You All Normal? It Depends!," International Statistical Review, International Statistical Institute, vol. 91(1), pages 114-139, April.
    2. Renee Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017. "Joint tests of contagion with applications to financial crises," CAMA Working Papers 2017-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Muhammad Aslam & Rehan Ahmad Khan Sherwani & Muhammad Saleem, 2021. "Vague data analysis using neutrosophic Jarque–Bera test," PLOS ONE, Public Library of Science, vol. 16(12), pages 1-9, December.
    4. Bruno Ebner & Norbert Henze, 2020. "Tests for multivariate normality—a critical review with emphasis on weighted $$L^2$$ L 2 -statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(4), pages 845-892, December.
    5. Norbert Henze & María Dolores Jiménez-Gamero, 2019. "A new class of tests for multinormality with i.i.d. and garch data based on the empirical moment generating function," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 499-521, June.

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    More about this item

    Keywords

    Goodness of fit test; Jarque–Bera test; Mardia’s test; Multivariate normality; Power comparison;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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