Description Usage Arguments Value Author(s) References Examples
Jarque-Bera (JB) is a backtest to test whether the skewness and kurtosis of a given sample matches that of normal distribution. JB test statistic is defined as
JB=\frac{n}{6}≤ft(s^2+\frac{(k-3)^2}{4}\right)
where n is sample size, s and k are coefficients of sample skewness and kurtosis.
1 | JarqueBeraBacktest(sample.skewness, sample.kurtosis, n)
|
sample.skewness |
Coefficient of Skewness of the sample |
sample.kurtosis |
Coefficient of Kurtosis of the sample |
n |
Number of observations |
Probability of null hypothesis H0
Dinesh Acharya
Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
Jarque, C. M. and Bera, A. K. A test for normality of observations and regression residuals, International Statistical Review, 55(2): 163-172.
1 2 3 | # JB test statistic for sample with 500 observations with sample
# skewness and kurtosis of -0.075 and 2.888
JarqueBeraBacktest(-0.075,2.888,500)
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