calculateJB {singR}

Calculates the sum of the JB scores across all components, useful for determining rho.

Description

We measure non-Gaussianity using Jarque-Bera (JB) statistic, which is a weighted combination of squared skewness and kurtosis, JB paper. The data has to be standardized and mean 0 and sd to 1.

Usage

calculateJB(S = NULL, U = NULL, X = NULL, alpha = 0.8)

Arguments

S

the variable loadings r x px.

U

U matrix for matched columns rj x n

X

whitened data matrix n x px, data = whitenerXA %*% dXcentered

alpha

JB weighting of skewness and kurtosis. default = 0.8

Value

the sum of JB score across all components.