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Fix machine error negative values on m2 #238

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Fix machine error negative values on m2 #238

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8c7798a
Fix machine error negative values on m2
viraltux Jun 15, 2021
0f3f4c6
Fix machine error negative values on m2
viraltux Jun 15, 2021
017ace8
Update jarque_bera.jl
viraltux Jun 16, 2021
d2fb8b0
Update jarque_bera.jl
viraltux Jun 16, 2021
7590cbe
Update jarque_bera.jl
viraltux Jun 16, 2021
db8ea78
Update jarque_bera.jl
viraltux Jun 16, 2021
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2 changes: 1 addition & 1 deletion src/jarque_bera.jl
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Expand Up @@ -63,7 +63,7 @@ function JarqueBeraTest(y::AbstractVector{T}) where T<:Real
m4r += yi^4 / n
end
# compute central moments (http://mathworld.wolfram.com/CentralMoment.html)
m2 = -m1r^2 + m2r
m2 = abs(-m1r^2 + m2r)
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I wonder what the (dis)advantages of this approach are compared with

Suggested change
m2 = abs(-m1r^2 + m2r)
m2 = max(-m1r^2 + m2r, 0)

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@viraltux viraltux Jun 15, 2021 •
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I was just about to pull a request for that option! It is better. At least mathematically more pleasant. Unless abs is faster than max... but probably not.

And now I am thinking that in the example that fails the second moment is not exactly zero which means that abs in that scenario is more precise than max that would set the second moment to exactly zero.

Now I think I should revert back to abs again! Okay, I'll sleep on it.

m3 = 2 * m1r^3 - 3 * m1r * m2r + m3r
m4 = -3 * m1r^4 + 6 * m1r^2 * m2r - 4 * m1r * m3r + m4r

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