jb_test: The Lomnicki-Jarque-Bera Test of normality (JB test)

In hoanguc3m/ccgarch: Conditional Correlation GARCH models

Description

This function performs the Lomnicki-Jarque-Bera Test of normality and returns test statistics and associated p-values.

Usage

    jb.test(x)

Arguments

x	a vector or matrix of variables to be tested

Value

Vector of test statistics and p-value

References

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

Lomnicki, Z.A. (1961), “Tests for Departure from Normality in the Case of Linear Stochastic Processes”, Metrika, 4, 37–62.

See Also

rob.sk, rob.kr, ljung.box.test

Examples

    # for a vector
    x <- rnorm(1000)
    jb.test(x)

    # for a matrix
    X <- matrix(rnorm(10000), 5000,2)
    jb.test(X)

hoanguc3m/ccgarch documentation built on May 29, 2019, 11:05 p.m.