Python tests whether Jarque-Bera conforms to normal distribution

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Release: 2018-04-09 16:19:06
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The content of this article is to test whether Jarque-Bera conforms to the normal distribution in python. It has a certain reference value. Friends in need can refer to it

Normal distribution is a normality test of a population distribution. When the sequence obeys the normal distribution, the JB statistic:

Python tests whether Jarque-Bera conforms to normal distribution

##gradually obeys distributed. Where n is the sample size, S and K are the skewness and kurtosis of the random variable respectively. Calculated as follows:


Python tests whether Jarque-Bera conforms to normal distribution

#The functions called for skewness and kurtosis in python's sicipy.stats are

stats.skew(y)
, stats.kurtosis(y), where the formula of kurtosis is In excel, the calculation formulas for skewness and kurtosis are as follows :

Python tests whether Jarque-Bera conforms to normal distribution


# Next, implement the formulas for calculating skewness and skew in Python's scipy library and establish a normal distribution test.

Code

import numpy as npimport scipy.stats as statsdef self_JBtest(y):
    # 样本规模n
    n = y.size
    y_ = y - y.mean()    """
    M2:二阶中心钜
    skew 偏度 = 三阶中心矩 与 M2^1.5的比
    krut 峰值 = 四阶中心钜 与 M2^2 的比
    """
    M2 = np.mean(y_**2)
    skew =  np.mean(y_**3)/M2**1.5
    krut = np.mean(y_**4)/M2**2

    """
    计算JB统计量,以及建立假设检验
    """
    JB = n*(skew**2/6 + (krut-3 )**2/24)
    pvalue = 1 - stats.chi2.cdf(JB,df=2)
    print("偏度:",stats.skew(y),skew)
    print("峰值:",stats.kurtosis(y)+3,krut)
    print("JB检验:",stats.jarque_bera(y))    return np.array([JB,pvalue])

y1 = stats.norm.rvs(size=10)

y2 = stats.t.rvs(size=1000,df=4)

print(self_JBtest(y1))

print(self_JBtest(y2))
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Result

=============== RESTART: C:\Users\tinysoft\Desktop\JB正态性检验.py =============== 

  偏度: 0.5383125387398069 0.53831253874 

  峰值: 2.9948926317585918 2.99489263176 

  JB检验: (0.48297818444514068, 0.78545737133644544) 

  [ 0.48297818  0.78545737] 

  偏度: -1.0488825341925703 -1.04888253419 

  峰值: 13.40804986639119 13.4080498664 

  JB检验: (4697.0050126426095, 0.0) 

  [ 4697.00501264     0.        ]
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Python tests whether Jarque-Bera conforms to normal distribution

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