       Re: Re: KS Analysis In Mathematica

• To: mathgroup at smc.vnet.net
• Subject: [mg49321] Re: [mg49309] Re: KS Analysis In Mathematica
• From: Mark Coleman <mark at markscoleman.com>
• Date: Wed, 14 Jul 2004 07:29:26 -0400 (EDT)
• Sender: owner-wri-mathgroup at wolfram.com

```Doug,

If this is of interest, here is code for the Bera-Jarque test of
normality. The module takes the data to be tested as an argument and
returns a two-element list consisting of the Bera-Jarque statistic and
it's p-value.

Needs["Statistics`DescriptiveStatistics`"];
Clear[beraJarque];
beraJarque[d_] := Module[{s, k, n, bj, bjsig},
n = Length[d];
s = Skewness[d];
k = KurtosisExcess[d];
bj = (n/6)*s^2 + (n/24)*k^2;
bjsig = 1.0 - CDF[ChiSquareDistribution, bj];
{bj, bjsig}
]

Regards,

Mark

On Jul 13, 2004, at 4:32 AM, Doug wrote:

> The links to the stats packages don't work....and neither does the
> contact
> info to these people
> ???
>
> Doug
> "Christos Argyropoulos MD" <chrisarg at medscape.com> wrote in message
>> Hi,
>> Try the following url
>> http://www.verbeia.com/mathematica/mathecon/othercode.html
>> if you are after for a "Normality" test and other goodies.
>> Alternatively try the following Mathematica Code:
>> -------------------------------------------------------------
>> Needs["Statistics`DescriptiveStatistics`"];
>> Needs["Statistics`DataManipulation`"];
>> Needs["Statistics`ContinuousDistributions`"];
>> Needs["Statistics`DescriptiveStatistics`"];
>> Needs["Statistics`ConfidenceIntervals`"];
>> Needs["Statistics`MultiDescriptiveStatistics`"];
>> Q[s_] := Module[{r}, Sum[(r - s)^r*(x^r)/r!, {r, 0, Floor[s]}]]
>> F[s_, m_] := Normal[Series[Simplify[(Q[s]^2)/Q[2*s]], {x, 0, m}]]
>> Kolmogorov[d_, m_] := Min[N[Abs[Coefficient[F[m*d, m], x, m]*m!/
>> (m^m)]], 1]
>> Lillefors[y_List] := Module[{stand, quant,
>>        kolm}, stand = Standardize[y]; quant = Transpose[QuantileForm
>> [stand]];
>>     kolm = N[Max[Abs[quant[] -
>>  Map[CDF[NormalDistribution[0, 1], #] &, quant[]]]]]]
>> -------------------------------------------------------------
>> Kolmogorov[d,m] gives the Probability of the Kolmogorov Smirnov Test
>> when the test statistic value is d and the sample tested is of size m.
>> If you want to test whether a list of observations has come from a
>> Normal Distribution with unknow mean and variance, use the function
>> Lillefors[obs] which calculates the P-value based on the Lillefors
>> modification of the KS statistic.
>> Cheers
>> Christos Argyropoulos
>>
>>
>>
>>
>> Sent by Medscape Mail: Free Portable E-mail for Professionals on the
>> Move
>> http://www.medscape.com
>>
>
>
>

```

• Prev by Date: RE: A question about function
• Next by Date: Re: Mathematica 5 I/O memory issues.
• Previous by thread: Re: KS Analysis In Mathematica
• Next by thread: Incomplete simplification