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Unformatted text preview: Some Basics Gaussian Distribution; Skewness=0; Kurtosis=3 Jarque-Bera Test: „ JB = n (K − 3)2 SK 2 + 6 24 « ∼ χ2 2 Lognormal: Mean > Median, because of skewness Heavy-Tailed Distribution: Double exponential t-distribution - polynomial tail Mixture distribution Pareto distribution Stable distribution - Mandelbrot/Fama
In statistics, the Jarque–Bera test is a goodness-of-fit measure of departure from normality, based on the sample kurtosis and skewness....
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This note was uploaded on 10/16/2010 for the course STAT 244 taught by Professor Dr.velu during the Summer '10 term at Stanford.
- Summer '10