lobato_bootstrap.test: The Sieve Bootstrap Lobato and Velasco's Test for normality.

In nortsTest: Assessing Normality of Stationary Process

The Sieve Bootstrap Lobato and Velasco's Test for normality.

Description

Performs the approximated Lobato and Velasco's test of normality for univariate time series. Computes the p-value using Psaradakis and Vavra's (2020) sieve bootstrap procedure.

Usage

lobato_bootstrap.test(y, c = 1, reps = 1000, h = 100, seed = NULL)

Arguments

y	a numeric vector or an object of the ts class containing a stationary time series.
c	a positive real value that identifies the total amount of values used in the cumulative sum.
reps	an integer with the total bootstrap repetitions.
h	an integer with the first burn-in sieve bootstrap replicates.
seed	An optional seed to use.

Details

This test proves a normality assumption in correlated data employing the skewness-kurtosis test statistic proposed by Lobato, I., & Velasco, C. (2004), approximating the p-value using a sieve-bootstrap procedure, Psaradakis, Z. and Vávra, M. (2020).

Value

A list with class "h.test" containing the following components:

statistic:	the sieve bootstrap Lobato n Velasco's statistic.
p.value:	the p value for the test.
alternative:	a character string describing the alternative hypothesis.
method:	a character string “Sieve-Bootstrap Lobato's test”.
data.name:	a character string giving the name of the data.

Author(s)

Asael Alonzo Matamoros and Alicia Nieto-Reyes.

References

Psaradakis, Z. and Vávra, M. (2020) Normality tests for dependent data: large-sample and bootstrap approaches. Communications in Statistics-Simulation and Computation 49 (2). ISSN 0361-0918.

Nieto-Reyes, A., Cuesta-Albertos, J. & Gamboa, F. (2014). A random-projection based test of Gaussianity for stationary processes. Computational Statistics & Data Analysis, Elsevier, vol. 75(C), pages 124-141.

Lobato, I., & Velasco, C. (2004). A simple test of normality in time series. Journal of econometric theory. 20(4), 671-689.

See Also

lobato.statistic,epps.test

Examples

# Generating an stationary arma process
y = arima.sim(1000,model = list(ar = 0.3))
lobato_bootstrap.test(y, reps = 1000)

nortsTest documentation built on May 29, 2024, 10:05 a.m.