jb.test {ccgarch}R Documentation

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

Description

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

Usage

    jb.test(x)

Arguments

x a vector or a matrix of variables

Value

Vector of test statistic 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)

[Package ccgarch version 0.1.1 Index]