Descriptive statistics

by Irina 14. April 2007 12:52

In statistics, the Jarque-Bera test is a goodness-of-fit measure of departure from normality, based on the sample kurtosis and skewness. The test statisticJB is defined as

\mathit{JB} = \frac{n}{6} \left( S^2 + \frac{(K-3)^2}{4} \right),

where n is the number of observations (or degrees of freedom in general); S is the sample skewness, K is the sample kurtosis.

It is possible to download excel macro :

Jarque-Bera_test.txt (2.76 kb)

Descriptive statistics:

Measures of Skewness and Kurtosis:

Skewness is a measure of symmetry, or more precisely, the lack of symmetry. A distribution, or data set, is symmetric if it looks the same to the left and right of the center point.

Kurtosis is a measure of the "peakedness" of the probability distribution of a real-valued random variable. Higher kurtosis means more of the variance is due to infrequent extreme deviations, as opposed to frequent modestly-sized deviations.

 

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Irina Spivak Irina Spivak
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