Improved omnibus test statistic for normality
We propose a new omnibus test statistic for normality based on the Jarque–Bera test statistic. We give the exact first four moments of the null distribution for the statistic using a computer algebra system. Our proposed statistic is an improvement of Jarque–Bera test statistic. Then the cumulants of the standardized statistic satisfy the Cornish–Fisher assumption. We give a normalizing transformation of the statistic based on the Wilson–Hilferty transformation.
KeywordsJarque–Bera test Kurtosis Normalizing transformation Powers Sampling moments Skewness
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