Class JarqueBeraDistribution

  • All Implemented Interfaces:
    ProbabilityDistribution

    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 \[ JB = \frac{n}{6}[S^2 + \frac{K^2}{4}] \] S is the skewness; K is the kurtosis.
    See Also:
    Wikipedia: Jarque-Bera test
    • Constructor Detail

      • JarqueBeraDistribution

        public JarqueBeraDistribution​(int N,
                                      int nSim,
                                      StandardNormalRNG rnorm)
        Construct a Jarque-Bera distribution using Monte Carlo simulation.
        Parameters:
        N - the number of observations in a sample
        nSim - the 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 - the number of observations in a sample
        nSim - the number of simulations