We propose a new robust Jarque-Bera (RJB) test utilizing a robust measure of variance. The RJB statistic is asymptotically [chi]22-distributed and has equal or higher power than the JB test for several common alternatives to normality.

Over the last decade there has been a marked interest in a Laplace distribution and its properties and generalizations, especially in the framework of financial applications. Such an interest has led to a revision and discussion of available goodness-of-fit procedures for a Laplace distribution....

Tracking of an unknown frequency embedded in noise is widely applied in a variety of applications. Unknown frequencies can be obtained by approximating generalized spectral density of a periodic process by an autoregressive (AR) model. The advantage is that an AR model has a simple structure and...

We propose a novel, simple, efficient and distribution-free re‐sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box–Jenkins linear representation of an ARCH/GARCH equation and then to...

We present a new R software package lawstat that contains statistical tests and procedures that are utilized in various litigations on securities law, antitrust law, equal employment and discrimination as well as in public policy and biostatistics. Along with the well known tests such as the...