Module net.finmath.lib
Package net.finmath.functions

Class JarqueBeraTest

java.lang.Object
net.finmath.functions.JarqueBeraTest
public class JarqueBeraTest extends Object
Class providing the test statistic of the Jarque-Bera test. The test statistic is given by \[ \frac{n}{6} \left( S^{2} + \frac{1}{4} \left( K - 3 \right)^{2} \right) \] where \( S \) is the skewness and \( K \) is the kurtosis of the given random variable.
Version:
1.0
Author:
Christian Fries

  • Constructor Details

    • JarqueBeraTest

      public JarqueBeraTest()
      Create an instance of the Jarque-Bera test.

  • Method Details

    • test

      public double test​(RandomVariable randomVariable)
      Return the test statistic of the Jarque-Bera test for a given random variable.
      Parameters:
      randomVariable - An object implementing RandomVariable
      Returns:
      The test statistic of the Jarque-Bera test the given random variable.