Why statistic jarque bera is following chi square distribution?
anybody help me? Why statistic jarque bera is following chi square distribution?
I know that jarque bera test is sum of the squared values of two N(0,1) distributed random variables, but i need help to proof this step by step.
Thanks..
Re: Why statistic jarque bera is following chi square distribution?
Actually previously I am studying the same problem, and have written a detailed proof (about 2-3 pages long). The proof is elementary and I start from the exercise of the book "Elements of Large-Sample Theory". I am a little bit busy so may not post it here now.