ccgarch (version 0.2.3)

jb.test: The Lomnicki-Jarque-Bera Test of normality (JB test)

Description

This function performs the Lomnicki-Jarque-Bera Test of normality and returns test statistics and associated p-values.

Usage

jb.test(x)

Arguments

x

a vector or matrix of variables to be tested

Value

Vector of test statistics and p-value

References

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

Lomnicki, Z.A. (1961), “Tests for Departure from Normality in the Case of Linear Stochastic Processes”, Metrika, 4, 37--62.

See Also

rob.sk, rob.kr, ljung.box.test

Examples

    # for a vector
    x <- rnorm(1000)
    jb.test(x)

    # for a matrix
    X <- matrix(rnorm(10000), 5000,2)
    jb.test(X)