SHT (version 0.1.9)

norm.2008RJB: Robust Jarque-Bera Test of Univariate Normality by Gel and Gastwirth (2008)

Description

Given an univariate sample \(x\), it tests $$H_0 : x\textrm{ is from normal distribution} \quad vs\quad H_1 : \textrm{ not } H_0$$ using a test procedure by Gel and Gastwirth (2008), which is a robustified version Jarque-Bera test.

Usage

norm.2008RJB(x, C1 = 6, C2 = 24, method = c("asymptotic", "MC"), nreps = 2000)

Value

a (list) object of S3 class htest containing:

statistic

a test statistic.

p.value

\(p\)-value under \(H_0\).

alternative

alternative hypothesis.

method

name of the test.

data.name

name(s) of provided sample data.

Arguments

x

a length-\(n\) data vector.

C1

a control constant. Authors proposed \(C1=6\) for nominal level of \(\alpha=0.05\).

C2

a control constant. Authors proposed \(C2=24\) for nominal level of \(\alpha=0.05\).

method

method to compute \(p\)-value. Using initials is possible, "a" for asymptotic for example.

nreps

the number of Monte Carlo simulations to be run when method="MC".

References

gel_robust_2008SHT

Examples

## generate samples from uniform distribution
x = runif(28)

## test with both methods of attaining p-values
test1 = norm.2008RJB(x, method="a") # Asymptotics
test2 = norm.2008RJB(x, method="m") # Monte Carlo