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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 14.02.2015
*/
package net.finmath.functions;
import net.finmath.stochastic.RandomVariable;
/**
* 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.
*
* @author Christian Fries
* @version 1.0
*/
public class JarqueBeraTest {
/**
* Create an instance of the Jarque-Bera test.
*/
public JarqueBeraTest() {
}
/**
* Return the test statistic of the Jarque-Bera test for a given
* random variable.
*
* @param randomVariable An object implementing {@link RandomVariable}
* @return The test statistic of the Jarque-Bera test the given random variable.
*/
public double test(final RandomVariable randomVariable) {
final double mean = randomVariable.getAverage();
final double stdev = randomVariable.getStandardDeviation();
final double skewness = randomVariable.sub(mean).pow(3).getAverage() / Math.pow(stdev, 3);
final double kurtosis = randomVariable.sub(mean).pow(4).getAverage() / Math.pow(stdev, 4);
final double test = randomVariable.size() / 6.0 * ( skewness * skewness + 0.25 * (kurtosis-3.0)*(kurtosis-3.0));
return test;
}
}