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| Jarque–Bera test http://forum.alglib.net/viewtopic.php?f=2&t=329 |
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| Author: | denkir [ Tue Mar 29, 2011 7:46 am ] |
| Post subject: | Jarque–Bera test |
Dear colleauges, could you hint what the auxiliary function jarquebera_jbcheb means? Why does the algorithm author omit any function description? :-( |
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| Author: | Sergey.Bochkanov [ Tue Mar 29, 2011 8:20 am ] |
| Post subject: | Re: Jarque–Bera test |
jbcheb(x,c,tj,tj1,r) is used to calculate Chebyshev approximation of the Jarque-Bera CDF. Its input arguments are: x - point of calculation c - coefficient tj - j-th Chebyshev polynomial tj1 - previous (j-1)-th Chebyshev polynomial r - accumulator variable This function adds c*x to r and updates tj and tj1 in such way, that tj1 is now equal to tj, and tj stores valye of (j+1)-th Chebyshev polynomial. I agree that Jarque-Bera subpackage is awkward - it have only several comments and it is too big and too hard to read. Well, it was generated automatically as result of the very long Monte-Carlo simulation, and although it was planned to make this package more human-readable, these plans were not implemented yet. |
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| Author: | denkir [ Tue Mar 29, 2011 8:48 am ] |
| Post subject: | Re: Jarque–Bera test |
Dear Sergey, great job! Thank you very much! |
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