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Аналог критерия Харке—Бера для случае, когда проверяется гипотеза о распределении Стьюдента Full article

Journal Сибирские электронные математические известия (Siberian Electronic Mathematical Reports)
, E-ISSN: 1813-3304
Output data Year: 2025, Volume: 22, Number: 1, Pages: 154-168 Pages count : 13 DOI: 10.33048/semi.2025.22.012
Tags Jarque–Bera test; Student’s distribution; Monte Carlo simulation
Authors Логачев А.В. 1 , Хрущев С.Е. 2
Affiliations
1 Dep. of Computer Science in Economics, Novosibirsk State Technical University, pr. K. Marksa, 20, 630073, Novosibirsk, Russia
2 Lab. of Applied Inverse Problems, Sobolev Institute of Mathematics, pr. Koptyuga, 4, 630090, Novosibirsk, Russia

Funding (1)

1 Russian Science Foundation 24-21-00087

Abstract: 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 a modification of this criterion, which allows for testing hypotheses concerning the case where the sample comes from a skewed Student’s distribution with an unknown number of degrees of freedom. The paper also provides power estimates for the constructed criterion, obtained through simulation of samples of various sizes.
Cite: Логачев А.В. , Хрущев С.Е.
Аналог критерия Харке—Бера для случае, когда проверяется гипотеза о распределении Стьюдента
Сибирские электронные математические известия (Siberian Electronic Mathematical Reports). 2025. Т.22. №1. С.154-168. DOI: 10.33048/semi.2025.22.012 Scopus
Dates:
Submitted: Dec 9, 2024
Published print: Mar 19, 2025
Published online: Mar 19, 2025
Identifiers:
Scopus: 2-s2.0-105002168657
Citing: Пока нет цитирований
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