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A necessary test of fit of specific elliptical distributions based on an estimator of Song’s measure

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  • Batsidis, Apostolos
  • Zografos, Konstantinos

Abstract

In a recent paper, Zografos [K. Zografos, On Mardia’s and Song’s measures of kurtosis in elliptical distributions, J. Multivariate Anal. 99 (2008) 858–879] has obtained general formulas for Song’s measure for the elliptic family of distributions, and he introduced and studied its sample analogue. In this paper, based on the empirical estimator of this measure, we present a test to verify if the data are distributed according to a specific elliptical (spherical) distribution. In this context, the asymptotic distribution of the proposed statistic under the null hypothesis of specific spherical distributions is obtained. The proposed statistic also provides us with a procedure for testing multivariate normality. In order to evaluate the convergence of the proposed statistic to its limiting distribution, under the null hypothesis, a simulation study is performed to analyze the behavior of the percentiles of the proposed statistic in some special cases of spherical distributions. Moreover, a Monte Carlo study is carried out on the performance of the test statistic as a necessary test of fit of specific spherical distributions. In this framework, the type I error rates as well as the power of the test are studied. Finally, a well-known data set is used to illustrate the method developed in this paper.

Suggested Citation

  • Batsidis, Apostolos & Zografos, Konstantinos, 2013. "A necessary test of fit of specific elliptical distributions based on an estimator of Song’s measure," Journal of Multivariate Analysis, Elsevier, vol. 113(C), pages 91-105.
  • Handle: RePEc:eee:jmvana:v:113:y:2013:i:c:p:91-105
    DOI: 10.1016/j.jmva.2011.09.006
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    References listed on IDEAS

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    1. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-280, April.
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    3. Schott, James R., 2002. "Testing for elliptical symmetry in covariance-matrix-based analyses," Statistics & Probability Letters, Elsevier, vol. 60(4), pages 395-404, December.
    4. Zografos, K., 2008. "On Mardia's and Song's measures of kurtosis in elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 858-879, May.
    5. Jiajuan Liang & Kai-Tai Fang & Fred Hickernell, 2008. "Some necessary uniform tests for spherical symmetry," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 60(3), pages 679-696, September.
    6. Balakrishnan, N. & Scarpa, Bruno, 2012. "Multivariate measures of skewness for the skew-normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 104(1), pages 73-87, February.
    7. Cambanis, Stamatis & Huang, Steel & Simons, Gordon, 1981. "On the theory of elliptically contoured distributions," Journal of Multivariate Analysis, Elsevier, vol. 11(3), pages 368-385, September.
    8. Fang, K. T. & Zhu, L. X. & Bentler, P. M., 1993. "A Necessary Test of Goodness of Fit for Sphericity," Journal of Multivariate Analysis, Elsevier, vol. 45(1), pages 34-55, April.
    9. Sakhanenko, Lyudmila, 2008. "Testing for ellipsoidal symmetry: A comparison study," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 565-581, December.
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    Cited by:

    1. Iwashita, Toshiya & Klar, Bernhard, 2014. "The joint distribution of Studentized residuals under elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 203-209.
    2. Boente, Graciela & Salibián Barrera, Matías & Tyler, David E., 2014. "A characterization of elliptical distributions and some optimality properties of principal components for functional data," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 254-264.

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