Finite sample performance of tests for symmetry of the errors in a linear model

Thomas Hettmansperger, Joseph Mckean, Simon Sheather

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

The finite sample performance of a number of tests for symmetry of the distribution of the errors of a linear model is considered. The first family of tests is based on the discrepancy between two regression fits. The first fit is appropriate under symmetric errors while the second is appropriate for skewed as well as symmetric error distributions. The second family of procedures consists of tests for the univariate symmetry problem. Thus, in the linear model setting these tests are based on residuals. An extensive empirical study of the finite sample, null behavior of the tests is presented. The results of a power comparison among the tests is also discussed.

Original languageEnglish
Pages (from-to)863-879
Number of pages17
JournalJournal of Statistical Computation and Simulation
Volume72
Issue number11
DOIs
StatePublished - Nov 1 2002

Bibliographical note

Copyright:
Copyright 2012 Elsevier B.V., All rights reserved.

Keywords

  • Asymptotic distribution-free
  • Asymptotic relative efficiency
  • Linear rank scores
  • Monte carlo study
  • Rank-based regression
  • Robust
  • Signed-rank regression
  • Wilcoxon scores

ASJC Scopus subject areas

  • Statistics and Probability
  • Modeling and Simulation
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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