A robustified Jarque–Bera test for multivariate normality

Namhyun Kim

Economics Letters, 2016, vol. 140, issue C, 48-52

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.

Keywords: Goodness of fit test; Jarque–Bera test; Mardia’s test; Multivariate normality; Power comparison (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:140:y:2016:i:c:p:48-52

DOI: 10.1016/j.econlet.2016.01.007

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