This test, based on the
skewness and the
kurtosis of the vector, computes the p-value associated to the normality of the distribution.
numeric, vector of independent and identical random variables
The Jarque-Bera test is based of the convergence, if the vector is i.i.d. normal random variables, of
skewness(x) -> N(0, 6) ; kurtosis(x) -> N(3, 24)
and moreover, both are asymptotically independent. Then, we have the statistic
J = (n/6)(S^2 + (K-3)^2/4) -> chi^2
The p-value associated to the test :
If you choose a test of level alpha, then you reject the null hypothesis of a normal distribution if the p-value returned by the function is lower than alpha.
Nicolas Baradel - PGM Solutions
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