On Fri, April 27, 2007 7:02 pm, Murali Menon wrote: > Folks, > > I'm a bit puzzled by the fact that if I generate 100,000 standard normal > variates using rnorm() and perform the Jarque-Bera on the resulting > vector, > I get p-values that vary drastically from run to run. Is this expected? > Surely the p-val should be close to 1 for each test?
No. Under the null hypothesis, the p-value is a uniformly-distributed random variable, with range 0 to 1. Cheers, Andrew > Are 100,000 variates sufficient for this test? > > Or is it that rnorm() is not a robust random number generator? I looked at > the skewness and excess kurtosis, and the former seems to be unstable, > which > leads me to think that is why JB is failing. > > Here are my outputs from successive runs of rjb.test (the robust Jarque > Bera > from the lawstat package). > > >>set.seed(100) > >>y <- rnorm(100000);rjb.test(y);skewness(y)[1];kurtosis(y)[1] > > Robust Jarque Bera Test > > data: y > X-squared = 1.753, df = 2, p-value = 0.4162 > > [1] -0.01025744 > [1] 0.0008213325 > >>y <- rnorm(100000);rjb.test(y);skewness(y)[1];kurtosis(y)[1] > > Robust Jarque Bera Test > > data: y > X-squared = 0.1359, df = 2, p-value = 0.9343 > > [1] -0.001833042 > [1] -0.002603599 > >>y <- rnorm(100000);rjb.test(y);skewness(y)[1];kurtosis(y)[1] > > Robust Jarque Bera Test > > data: y > X-squared = 4.6438, df = 2, p-value = 0.09809 > > [1] -0.01620776 > [1] -0.005762349 > > > Please advise. Thanks, > > Murali > > _________________________________________________________________ > MSN is giving away a trip to Vegas to see Elton John. Enter to win today. > > ______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > Andrew Robinson Senior Lecturer in Statistics Tel: +61-3-8344-9763 Department of Mathematics and Statistics Fax: +61-3-8344 4599 University of Melbourne, VIC 3010 Australia Email: [EMAIL PROTECTED] Website: http://www.ms.unimelb.edu.au ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
