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

Class JarqueBeraDistribution

java.lang.Object

com.numericalmethod.suanshu.stats.distribution.univariate.EmpiricalDistribution

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

All Implemented Interfaces:

ProbabilityDistribution, java.io.Serializable

public class JarqueBeraDistribution
extends EmpiricalDistribution

Jarque–Bera distribution is the distribution of the Jarque–Bera statistics, which measures the departure from normality.

The statistics is

       n
 JB = --- (S2) + 0.25 * K2))
       6
 

S is the skewness; K is the kurtosis.

See Also:

Wikipedia: Jarque–Bera test, Serialized Form

Field Summary

Fields

Modifier and Type	Field and Description
int	N the number of observations in a sample
int	nSim the number of Monte Carlo simulation paths

Constructor Summary

Constructors

Constructor and Description
JarqueBeraDistribution(int N, int nSim) Construct a Jarque–Bera distribution using Monte Carlo simulation.
JarqueBeraDistribution(int N, int nSim, StandardNormalRng rnorm) Construct a Jarque–Bera distribution using Monte Carlo simulation.

Method Summary

Methods inherited from class com.numericalmethod.suanshu.stats.distribution.univariate.EmpiricalDistribution

cdf, density, entropy, kurtosis, mean, median, moment, nSamples, quantile, skew, toArray, variance

Methods inherited from class java.lang.Object

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

Field Detail

N

public final int N

the number of observations in a sample

nSim

public final int nSim

the number of Monte Carlo simulation paths

Constructor Detail

JarqueBeraDistribution

public JarqueBeraDistribution(int N,
                              int nSim,
                              StandardNormalRng rnorm)

Construct a Jarque–Bera distribution using Monte Carlo simulation.

Parameters:

N - number of observations in a sample

nSim - number of simulations

rnorm - a Gaussian random number generator

JarqueBeraDistribution

public JarqueBeraDistribution(int N,
                              int nSim)

Construct a Jarque–Bera distribution using Monte Carlo simulation.

Parameters:

N - number of observations in a sample

nSim - number of simulations