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RE: Adding multi-D skewness, kurtosis, and Jarque Bera test
From: |
Pebay, Philippe P |
Subject: |
RE: Adding multi-D skewness, kurtosis, and Jarque Bera test |
Date: |
Tue, 30 Nov 2010 16:16:47 -0700 |
Søren,
Thank you for the prompt response and the interest for the statistics functions
I mentioned earlier.
Yes, I see then that it probably makes more sense to contribute these functions
to Octave-Forge. For instance, I have made the signature of the statistical
test match that of the other statistical tests currently available in Octave,
and not in Matlab.
For instance, the multi-dimensional Jarque-Bera-Srivastave test signature is:
function [PVAL, JBS, DF] = multi_jbtest( M )
% M is a matrix of input data: observations per row, variables per column
% PVAL is the Jarque-Bera-Srivastava normality test p-value
% JBS is the corresponding Jarque-Bera-Srivastava statistic
% DF is the corresponding number of degrees of freedom
For the multi-skewness and multi-kurtosis it simply is:
function [BS1, BS2] = multi_skew_kurt( M )
% M is a matrix of input data: observations per row, variables per column
% BS1 is the multi-dimensional skewness in the Srivastava sense
% BS2 is the multi-dimensional kurtosis in the Srivastava sense
I cannot unfortunately send you the code right now, because at Sandia we must
submit to an internal review process before we can release any open-source
code. However, as we now know that there might be some interest for
Octave-Forge, I will initiate this review process so I can show you the code,
which is short anyway: 26 lines for multi_jbtest.m and 31 for
multi_skew_kurt.m, as they both leverage existing Octave capabilities (SVD in
particular).
I will send the code as soon as it is approved for public release.
Thanks again for your interest.
Best,
Philippe
--
Philippe Pébay
Sandia National Laboratories
________________________________________
From: Søren Hauberg address@hidden
Sent: Tuesday, November 30, 2010 11:04 AM
To: Pebay, Philippe P
Cc: address@hidden
Subject: Re: Adding multi-D skewness, kurtosis, and Jarque Bera test
Hi
tir, 30 11 2010 kl. 10:40 -0800, skrev Philippe Pébay:
> We have written the following Octave functions providing the following
> capabilities:
>
> 1. A function calculating the multi-dimensional skewness and kurtosis of an
> input data
> set, based on M.S. Srivastava, "A Measure of Skewness and Kurtosis and a
> Graphical Method
> for Assessing Multivariate Normality", Stat. & Prob. Letters, 2 (1984)
>
> 2. A function providing the multi-dimensional extension of the Jarque-Bera
> test for
> normality of observations, based on K. Koizumi et al, "On Jarque-Bera Tests
> for Assessing
> Multivariate Normality", J. Statistics: Advances in Theory and Application, 1
> (2009)
>
> We would like to contribute these functions to either Octave or Octave-Forge
> and would
> appreciate feedback as to which of the two is the most appropriate for these
> functions.
These sounds like good contributions to me. A couple of comments:
* It's easier for us to give comments if you send the code :-)
* In general, there is a trend towards moving functions from
Octave to Octave-Forge if these are not in core Matlab. I think
it was previously discussed if we should move functions like
'kurtosis' to Octave-Forge. So, it could be that your
contributions are best suited for Octave-Forge.
Søren