FitAR (version 1.94)

JarqueBeraTest: Jarque-Bera Normality Test

Description

A powerful omnibus test for normality.

Usage

JarqueBeraTest(z)

Arguments

z

vector of data

Value

LM

value of the LM statistic

pvalue

p-value

Details

This test is derived as a Lagrange multiplier test for normal distribution in the family of Pearson distributions (Jarque and Bera, 1987 ).

References

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

Examples

#some normal data
z<-rnorm(100)
JarqueBeraTest(z)
#some skewed data
z<-rexp(100)
JarqueBeraTest(z)
#some thick tailed data
z<-rt(100,5)
JarqueBeraTest(z)