Class JarqueBera


  • 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 JB statistic 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 0 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
    • 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 - true if 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