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.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
JarqueBeraTest() Create an instance of the Jarque-Bera test.

Method Summary

Modifier and Type	Method and Description
double	test(RandomVariableInterface randomVariable) Return the test statistic of the Jarque-Bera test for a given random variable.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

JarqueBeraTest

public JarqueBeraTest()

Create an instance of the Jarque-Bera test.

Method Detail

test

public double test(RandomVariableInterface randomVariable)

Return the test statistic of the Jarque-Bera test for a given random variable.

Parameters:

randomVariable - An object implementing RandomVariableInterface

Returns:

The test statistic of the Jarque-Bera test the given random variable.