JarqueBeraTest: Jarque-Bera Normality Test

In FitAR: Subset AR Model Fitting

Description

A powerful omnibus test for normality.

Usage

JarqueBeraTest(z)

Arguments

z	vector of data

Details

This test is derived as a Lagrange multiplier test for normal distribution in the family of Pearson distributions (Jarque and Bera, 1987 ).

Value

LM	value of the LM statistic
pvalue	p-value

Author(s)

A.I. McLeod

References

Jarque, C.M. and Bera, A.K. (1987). A Test for Normality of Observations and Regression Residuals. International Statistical Review 55, 163-172

Examples

#some normal data
z<-rnorm(100)
JarqueBeraTest(z)
#some skewed data
z<-rexp(100)
JarqueBeraTest(z)
#some thick tailed data
z<-rt(100,5)
JarqueBeraTest(z)

FitAR documentation built on May 2, 2019, 3:22 a.m.