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Luis A. Afonso

Posts: 4,518
From: LIsbon (Portugal)
Registered: 2/16/05
Posted: Jan 9, 2014 6:51 PM
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It is obvious, but amazingly undetected, that the Jarque-Bera test DOES NOT check if data is Gaussian (Normal) as generally accepted. It performs a quite different task, namely if the SUM of Skewness and Kurtosis after reduction to a squared standard normal is not incompatible with the Normality Hypotheses. Because we are dealing with a sum we are not allowed to state (if so) the two parameters above are correct towards normality.

Note that statistical tests that are based on the Empirical Distribution, like Anderson-Darling or Lilliefors, are free to this kind of criticism, of course.

Luis A. Afonso

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