com.numericalmethod.suanshu.stats.test.distribution.normality

Class JarqueBera

java.lang.Object

com.numericalmethod.suanshu.stats.test.HypothesisTest

com.numericalmethod.suanshu.stats.test.distribution.normality.JarqueBera

All Implemented Interfaces:

java.io.Serializable

public class JarqueBera
extends HypothesisTest

The Jarque–Bera test is a goodness-of-fit measure of departure from normality, based on the sample kurtosis and skewness.

The statistic JB has an asymptotic chi-square distribution with two degrees of freedom and can be used to test the null hypothesis that the data are from a normal distribution. The null hypothesis is a joint hypothesis of the skewness being zero and the excess kurtosis being 0, since samples from a normal distribution have an expected skewness of 0 and an expected excess kurtosis of 0 (which is the same as a kurtosis of 3). As the definition of JB shows, any deviation from this increases the JB statistic.

The R equivalent function is rjb.test in package lawstat, or jarque.bera.test in package tseries for N > 2000.

See Also:

Wikipedia: Jarque–Bera test, Serialized Form

Field Summary

Fields

Modifier and Type	Field and Description
int	nSim

Fields inherited from class com.numericalmethod.suanshu.stats.test.HypothesisTest

k, N, pValue, testStatistics

Constructor Summary

Constructors

Constructor and Description
JarqueBera(double[] sample) Perform the Jarque-Bera test to test for the departure from normality, using the asymptotic chi-square distribution.
JarqueBera(double[] sample, boolean isExact) Perform the Jarque-Bera test to test for the departure from normality.

Method Summary

Modifier and Type	Method and Description
java.lang.String	getAlternativeHypothesis() Get a description of the alternative hypothesis.
java.lang.String	getNullHypothesis() Get a description of the null hypothesis.

Methods inherited from class com.numericalmethod.suanshu.stats.test.HypothesisTest

isNullRejected, oneSidedPvalue, pValue, statistics

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

nSim

public final int nSim

See Also:

Constant Field Values

Constructor Detail

JarqueBera

public JarqueBera(double[] sample,
                  boolean isExact)

Perform the Jarque-Bera test to test for the departure from normality.

Parameters:

sample - a sample

isExact - indicate whether the exact Jarque-Bera distribution is to be used

JarqueBera

public JarqueBera(double[] sample)

Perform the Jarque-Bera test to test for the departure from normality, using the asymptotic chi-square distribution.

Parameters:

sample - a sample

Method Detail

getNullHypothesis

public java.lang.String getNullHypothesis()

Description copied from class: HypothesisTest

Get a description of the null hypothesis.

Specified by:

getNullHypothesis in class HypothesisTest

Returns:

the null hypothesis description

See Also:

Wikipedia: Null hypothesis

getAlternativeHypothesis

public java.lang.String getAlternativeHypothesis()

Description copied from class: HypothesisTest

Get a description of the alternative hypothesis.

Specified by:

getAlternativeHypothesis in class HypothesisTest

Returns:

the alternative hypothesis description

See Also:

Wikipedia: Alternative hypothesis