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Y.K · 2021年09月09日

5.99是怎么来的？

  1. FRM I
  2. Quantitative

NO.PZ2020011101000040

问题如下：

The following data is collected for four distributions:

Which of these datasets are likely (at the 95% confidence level) to not be drawn from a normal distribution?

选项：

解释：

The appropriate test statistic is the Jarque-Bera statistic.

JB=(T−1)(S^2/6+(κ^−3)2/24)JB = (T - 1)(\widehat S^2/6+(\widehat\kappa-3)^2/24)

This will be distributed asχ22\chi_2^2, and for a 5% test size the critical value is 5.99

The following data is collected for four distributions:

So, as the JB figure is greater than 5.99 for datasets B & D, their respective null hypotheses (normally distributed) are rejected.

5.99是怎么来的？

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1 个答案

品职答疑小助手雍 · 2021年09月09日

同学你好，讲义338页，Jarque-Bera的critical value， 5%对应的是5.99， 1%对应的是9.21。

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