A NEW CHARACTERIZATION OF THE NORMAL DISTRIBUTION AND TEST FOR NORMALITY

2015 ◽  
Vol 32 (5) ◽  
pp. 1216-1252 ◽  
Author(s):  
Anil K. Bera ◽  
Antonio F. Galvao ◽  
Liang Wang ◽  
Zhijie Xiao
Keyword(s):  
Normal Distribution ◽  
Testing Procedure ◽  
Finite Sample ◽  
Omnibus Test ◽  
Sample Mean ◽  
Underlying Distribution ◽  
Asymptotic Covariance ◽  
Finite Sample Properties ◽  
Test For Normality

We study the asymptotic covariance function of the sample mean and quantile, and derive a new and surprising characterization of the normal distribution: the asymptotic covariance between the sample mean and quantile is constant across all quantiles,if and only ifthe underlying distribution is normal. This is a powerful result and facilitates statistical inference. Utilizing this result, we develop a new omnibus test for normality based on the quantile-mean covariance process. Compared to existing normality tests, the proposed testing procedure has several important attractive features. Monte Carlo evidence shows that the proposed test possesses good finite sample properties. In addition to the formal test, we suggest a graphical procedure that is easy to implement and visualize in practice. Finally, we illustrate the use of the suggested techniques with an application to stock return datasets.

SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS

2020 ◽  
pp. 1-43
Author(s):  
Torben G. Andersen ◽  
Nicola Fusari ◽  
Viktor Todorov ◽  
Rasmus T. Varneskov
Keyword(s):  
Spatial Dependence ◽  
Option Price ◽  
Monte Carlo Study ◽  
Nonparametric Test ◽  
Testing Procedure ◽  
Observation Error ◽  
Finite Sample ◽  
Finite Sample Properties ◽  
Observation Times ◽  
Index Option

In this paper, we develop the first formal nonparametric test for whether the observation errors in option panels display spatial dependence. The panel consists of options with different strikes and tenors written on a given underlying asset. The asymptotic design is of the infill type—the mesh of the strike grid for the observed options shrinks asymptotically to zero, while the set of observation times and tenors for the option panel remains fixed. We propose a Portmanteau test for the null hypothesis of no spatial autocorrelation in the observation error. The test makes use of the smoothness of the true (unobserved) option price as a function of its strike and is robust to the presence of heteroskedasticity of unknown form in the observation error. A Monte Carlo study shows good finite-sample properties of the developed testing procedure and an empirical application to S&P 500 index option data reveals mild spatial dependence in the observation error, which has been declining in recent years.

A New Characterization of the Normal Distribution and Test for Normality

2015 ◽  
Author(s):  
Anil Bera ◽  
Antonio Galvao ◽  
Liang Wang ◽  
Zhijie Xiao
Keyword(s):  
Normal Distribution ◽  
Test For Normality

scholarly journals A Universal Model for the Log-Normal Distribution of Elasticity in Polymeric Gels and Its Relevance to Mechanical Signature of Biological Tissues

Biology ◽  
2021 ◽  
Vol 10 (1) ◽  
pp. 64
Author(s):  
Arnaud Millet
Keyword(s):  
Elastic Modulus ◽  
Normal Distribution ◽  
Biological Tissues ◽  
Force Microscopy ◽  
Polymeric Gels ◽  
Atomic Force ◽  
Clear Explanation ◽  
Log Normal ◽  
Log Normal Distribution

The mechanosensitivity of cells has recently been identified as a process that could greatly influence a cell’s fate. To understand the interaction between cells and their surrounding extracellular matrix, the characterization of the mechanical properties of natural polymeric gels is needed. Atomic force microscopy (AFM) is one of the leading tools used to characterize mechanically biological tissues. It appears that the elasticity (elastic modulus) values obtained by AFM presents a log-normal distribution. Despite its ubiquity, the log-normal distribution concerning the elastic modulus of biological tissues does not have a clear explanation. In this paper, we propose a physical mechanism based on the weak universality of critical exponents in the percolation process leading to gelation. Following this, we discuss the relevance of this model for mechanical signatures of biological tissues.

A Test for Functional Form Against Nonparametric Alternatives

1992 ◽  
Vol 8 (4) ◽  
pp. 452-475 ◽  
Author(s):  
Jeffrey M. Wooldridge
Keyword(s):  
Alternative Model ◽  
Regression Models ◽  
Functional Form ◽  
Parametric Model ◽  
Finite Sample ◽  
Test Statistic ◽  
Sieve Estimation ◽  
Finite Sample Properties ◽  
Standard Normal ◽  
Nonparametric Alternatives

A test for neglected nonlinearities in regression models is proposed. The test is of the Davidson-MacKinnon type against an increasingly rich set of non-nested alternatives, and is based on sieve estimation of the alternative model. For the case of a linear parametric model, the test statistic is shown to be asymptotically standard normal under the null, while rejecting with probability going to one if the linear model is misspecified. A small simulation study suggests that the test has adequate finite sample properties, but one must guard against over fitting the nonparametric alternative.

A note on the characterization of the multivariate normal distribution

Metrika ◽  
1979 ◽  
Vol 26 (1) ◽  
pp. 25-30 ◽  
Author(s):  
Sh. Talwalker
Keyword(s):  
Normal Distribution ◽  
Multivariate Normal Distribution ◽  
Multivariate Normal

Kernel Based Estimation for a Non-Homogeneous Poisson Processes

2013 ◽  
Vol 805-806 ◽  
pp. 1948-1951
Author(s):  
Tian Jin
Keyword(s):  
Air Pollution ◽  
Nonparametric Estimation ◽  
Simulation Study ◽  
Poisson Model ◽  
Poisson Processes ◽  
Finite Sample ◽  
Process Data ◽  
Homogeneous Poisson Process ◽  
Finite Sample Properties ◽  
Non Homogeneous Poisson Process

The non-homogeneous Poisson model has been applied to various situations, including air pollution data. In this paper, we propose a kernel based nonparametric estimation for fitting the non-homogeneous Poisson process data. We show that our proposed estimator is-consistent and asymptotically normally distributed. We also study the finite-sample properties with a simulation study.

A methodology for normal distribution-based statistical characterization of long-term insolation by means of historical data

Solar Energy ◽  
2015 ◽  
Vol 122 ◽  
pp. 440-454 ◽  
Author(s):  
Almir Sedić ◽  
Danijel Pavković ◽  
Mihajlo Firak
Keyword(s):  
Normal Distribution ◽  
Historical Data ◽  
Statistical Characterization
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