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Topic: Just for fun
Replies: 2   Last Post: Jan 9, 2014 4:16 PM

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Luis A. Afonso

Posts: 4,518
From: LIsbon (Portugal)
Registered: 2/16/05
Just for fun
Posted: Dec 30, 2013 3:01 PM
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Just for fun

Noting that both U= (n/6)*S^2 and V= n/24*(K-3)^2, JB=U(S) + V(k), do depend from the second central moment is intuitively obvious to assume that the two Jarque-Bera test statistics summands are strongly correlated. In order to try to destroy this feature we (just for fun) *split* the sample into two halves: firstly estimating the the third and the second then, the fourth and a fresh second moment. Note that in this instance we do not really split a sample, rather we *draw* (simulate) other sample.


We simulate the two-sample way, n= 20 + 20 <APART> and the current way <JBcurrnt>, n= 40; the Quantiles Q from 0.05 to 0.95 are shown below.



Note that the values are quite similar, the present way only a little less disperse than the classic procedure, see:

arXiv:math/0509423v1 [math.ST] 19 Sep 2005

Luis A. Afonso

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