normal distribution test
조회 수: 135 (최근 30일)
Richard Willey 2012년 1월 3일
Statistics Toolbox offers a number of hypothesis tests that you can use to (formally) test whether your data is normally distributed. With this said and done, I strongly recommend starting with some visualization techniques.
Functions like "normplot" will provide you with a much better feel for the nature of your data and why it does/does not match a normal distribution.
the cyclist 2012년 1월 2일
Do you have access to the Statistics Toolbox? There are at least two normality tests included there: jbtest() and lillietest().
I don't have the Finance Toolbox, but I am guessing that there may be something there as well.
You can type "docsearch normality" to poke around in the documentation.
I am not sure what you mean by normalizing it, if it is not normally distributed. Sounds like a dangerous game. Maybe you could provide some more details on what you are trying to do.
Léon 2012년 1월 3일
Are you talking about prices or returns? Or even something different from that? Regarding returns you should be aware of a leptokurtic distribution of your data. Anyway I wouldn't rely on a normal distribution, but I would definitely use some bootstrapping technique to derive an accurate estimator for the moments.