jarquebera.test: Jarque-Bera test for univariate normality

In fastmatrix: Fast Computation of some Matrices Useful in Statistics

Jarque-Bera test for univariate normality

Description

Performs an omnibus test for univariate normality.

Usage

JarqueBera.test(x, test = "DH")

Arguments

x	a numeric vector containing the sample observations.
test	test statistic to be used. One of "DH" (Doornik-Hansen, the default), "JB" (Jarque-Bera), "robust" (robust modification by Gel and Gastwirth), "ALM" (Adjusted Lagrange multiplier).

Value

A list of class 'JarqueBera.test' with the following elements:

statistic	value of the statistic, i.e. the value of either Doornik-Hansen, Jarque-Bera, or Adjusted Lagrange multiplier test.
parameter	the degrees of freedom for the test statistic, which is chi-square distributed.
p.value	the p-value for the test.
skewness	the estimated skewness coefficient.
kurtosis	the estimated kurtosis coefficient.
method	a character string indicating what type of test was performed.

References

Doornik, J.A., Hansen, H. (2008). An omnibus test for univariate and multivariate normality. Oxford Bulletin of Economics and Statistics 70, 927-939.

Gel, Y.R., Gastwirth, J.L. (2008). A robust modification of the Jarque-Bera test of normality. Economics Letters 99, 30-32.

Jarque, C.M., Bera, A.K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters 6, 255-259.

Urzua, C.M. (1996). On the correct use of omnibus tests for normality. Economics Letters 53, 247-251.

Examples

set.seed(149)
x <- rnorm(100)
z <- JarqueBera.test(x, test = "DH")
z

set.seed(173)
x <- runif(100)
z <- JarqueBera.test(x, test = "DH")
z

fastmatrix documentation built on Oct. 12, 2023, 5:14 p.m.