25
Views
11
CrossRef citations to date
0
Altmetric
Theory and Method

Power of Some Standard Goodness-of-Fit Tests of Normality against Asymmetric Stable Alternatives

&
Pages 861-865 | Received 01 Sep 1977, Published online: 05 Apr 2012

References

  • Anderson , T. W. and Darling , D. A. 1954 . “A Test of Goodness of Fit” . Journal of the American Statistical Association , 49 : 765 – 769 .
  • Chambers , J. M. , Mallows , C. L. and Stuck , B. W. 1976 . “A Method for Simulating Stable Random Variables” . Journal of the American Statistical Association , 71 : 304 – 344 .
  • D'Agostino , Ralph B. 1971 . “An Omnibus Test of Normality for Moderate and Large Size Sample” . Biometrika , 58 : 341 – 348 .
  • D'Agostino , Ralph B. and Tietjen , G. 1971 . “Simulation Probability Points of b 2 for Small Samples” . Biometrika , 58 : 669 – 672 .
  • D'Agostino , Ralph B. and Pearson , E. S. 1973 . “Tests for Departure From Normality: Empirical Results for the Distribution of b 2 and ✓b 1” . Biometrika , 60 : 613 – 622 .
  • David , H. A. , Hartley , H. O. and Pearson , E. S. 1954 . “The Distribution of the Ratio, in a Single Normal Sample, of Range to Standard Deviation” . Biometrika , 41 : 482 – 493 .
  • DuMouchel , W. H. 1971 . “Stable Distributions in Statistical Inference” , Dept. of Statistics, Yale University . unpublished PhD dissertation
  • DuMouchel , W. H. 1973a . “On the Asymptotic Normality of the Maximum Likelihood Estimate When Sampling From a Stable Distribution” . Annals of Statistics , 50 : 948 – 957 .
  • DuMouchel , W. H. 1973b . “Stable Distributions in Statistical Inference: 1. Symmetric Stable Distributions Compared to Other Symmetric Long Tailed Distributions” . Journal of the American Statistical Association , 68 : 469 – 477 .
  • Fama , E. F. 1965 . “The Behavior of Stock Market Prices” . Journal of Business , 38 : 34 – 105 .
  • Fama , E. F. and Roll , R. 1968 . “Some Properties of Symmetric Stable Distributions” . Journal of the American Statistical Association , 63 : 817 – 836 .
  • Fama , E. F. , Roll , R. and Roll , R. 1971 . “Parameter Estimates for Symmetric Stable Distributions” . Journal of the American Statistical Association , 66 : 331 – 338 .
  • Fielitz , B. D. and Smith , E. W. 1972 . “Asymmetric Stable Distributions of Stock Price Changes” . Journal of the American Statistical Association , 67 : 813 – 814 .
  • Grubbs , F. E. 1969 . “Procedures for Detecting Outlying Observations in Samples” . Technometrics , 44 : 1 – 21 .
  • Leitch , R. A. and Paulson , A. S. 1975 . “Estimation of Stable Law Parameters: Stock Price Behavior Application” . Journal of the American Statistical Association , 70 : 690 – 697 .
  • Mandelbrot , Benoit . 1963 . “The Variation of Certain Speculative Prices” . Journal of Business , 36 : 394 – 419 .
  • Pearson , E. S. and Hartley , H. O. , eds. 1966 . Biometrika Tables for Statisticians, , 3rd ed. , Vol. I , Cambridge , , England : Cambridge University Press .
  • PRAND/BASET/BASAVE . 1976 . Pseudo Random Number Generator Routines , University Park : Pennsylvania State University Computation Center .
  • Saniga , E. M. and Hayya , J. 1977 . “Simple Goodness-of-Fit Tests for Symmetric Stable Distributions” . Journal of Financial and Quantitative Analysis , 12 : 276 – 289 .
  • Saniga , E. M. , Hayya , J. , Pfaffenberger , R. and Hayya , J. “Estimation and Goodness-of-Fit Tests for Symmetric Stable Distributions” . Proceedings of the American Statistical Association . pp. 530 – 534 . Business and Economics Section .
  • Shapiro , S. S. and Wilk , M. B. 1965 . “An Analysis of Variance Test for Normality (Complete Samples) . Biometrika , 52 : 591 – 611 .
  • Shapiro , S. S. , Wilk , M. B. , Wilk , M. B. and Chen , J. 1968 . “A Comparative Study of Various Tests for Normality” . Journal of the American Statistical Association , 63 : 1343 – 1372 .
  • Smith , K. V. 1975 . “A Simulation Analysis of the Power of Several Tests for Detecting Heavy-Tailed Distributions” . Journal of the American Statistical Association , 70 : 662 – 665 .
  • Stephens , M. A. 1974 . “EDF Statistics for Goodness of Fit and Some Comparisons” . Journal of the American Statistical Association , 69 : 730 – 737 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.