- java.lang.Object
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- net.finmath.functions.JarqueBeraTest
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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
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Constructor Summary
Constructors Constructor Description JarqueBeraTest()
Create an instance of the Jarque-Bera test.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
test(RandomVariable randomVariable)
Return the test statistic of the Jarque-Bera test for a given random variable.
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Method Detail
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test
public double test(RandomVariable randomVariable)
Return the test statistic of the Jarque-Bera test for a given random variable.- Parameters:
randomVariable
- An object implementingRandomVariable
- Returns:
- The test statistic of the Jarque-Bera test the given random variable.
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