IStatistics.JarqueBeraStat

Syntax

JarqueBeraStat(Sample: Array): Double;

Description

The JarqueBeraStat method returns the Jarque-Bera statistics.

Comments

The Jarque-Bera test is used to test the hypothesis that the residuals of the considered series have normal distribution.

Test statistic has χ2 distribution with two degrees of freedom. Null hypothesis of normal distribution of series residuals is rejected at selected significance, if Jarque-Bera statistic is greater than critical value of χ2 statistics (critical value of χ2 for significance level 0.01 is 9.2103, for significance level 0.05 it is 5.9916).

Example

Sub Main;

Var

st: Statistics;

JB: Double;

y: Array Of Double;

Begin

y := New Double[10];

y[00] := 6209;

y[01] := 6385;

y[02] := 6752;

y[03] := 6837;

y[04] := 6495;

y[05] := 6907;

y[06] := 7349;

y[07] := 7213;

y[08] := 7061;

y[09] := 7180;

st := New Statistics.Create;

JB := st.JarqueBeraStat(y);

Debug.WriteLine("JarqueBera: " + JB.ToString);

End Sub Main;

Executing this example shows the Jarque-Bera statistics results in the console window:

Module execution started

JarqueBera: 0.69067010764851344

Module execution finished