Modifications to the Jarque–Bera Test
The Jarque–Bera test is commonly used in statistics and econometrics to test the hypothesis that sample elements adhere to a normal distribution with an unknown mean and variance. This paper proposes several modifications to this test, allowing for testing hypotheses that the considered sample comes from: a normal distribution with a known mean (variance unknown); a normal distribution with a known variance (mean unknown); a normal distribution with a known mean and variance. For given significance levels, α=0.05 and α=0.01, we compare the power of our normality test with the most well-known and popular tests using the Monte Carlo method: Kolmogorov–Smirnov (KS), Anderson–Darling (AD), Cramér–von Mises (CVM), Lilliefors (LF), and Shapiro–Wilk (SW) tests. Under the specific distributions, 1000 datasets were generated with the sample sizes n=25,50,75,100,150,200,250,500, and 1000. The simulation study showed that the suggested tests often have the best power properties. Our study also has a methodological nature, providing detailed proofs accessible to undergraduate students in statistics and probability, unlike the works of Jarque and Bera.
Authors
- Lyudmila Serga (ORCID: https://orcid.org/0000-0002-8934-8876)
- Vladimir Glinskiy (ORCID: https://orcid.org/0000-0002-7149-3020)
- Anatoly Yambartsev (ORCID: https://orcid.org/0000-0002-8398-1347)
- Kirill Zaykov (ORCID: https://orcid.org/0000-0002-3423-6228)
- S. E. Khrushchev (ORCID: https://orcid.org/0000-0002-0281-5022)
- A. V. Logachov (ORCID: https://orcid.org/0000-0002-0605-8831)
- O. Logachova (ORCID: https://orcid.org/0000-0003-4994-5606)
- Yulia Ismayilova
Institutions
- Universidade de São Paulo (BR)
- The Russian Presidential Academy of National Economy and Public Administration (RU)
- Sobolev Institute of Mathematics (RU)
- Novosibirsk State University of Economics and Management (RU)
- Siberian State University Geosystems and Technology (RU)
- Novosibirsk State Technical University (RU)
Publication Details
- Journal
- Mathematics
- Published
- 2024-08-15
- DOI
- https://doi.org/10.3390/math12162523
- Citations
- 8
- Primary Topic
- Isotope Analysis in Ecology
- Type
- article
- Field-Weighted Citation Impact
- 3.67
Funders
- Fundação de Amparo à Pesquisa do Estado de São Paulo
- Russian Science Foundation