jb_scratch.py

jb_scratch.py

def jb_test_statistic(column):
    
    """
    Function for creating JB test statistic equation from pandas dataframe column
    """
    # have all nulls removed, get the data length, and convert column values to an array
    column = column.dropna()
    n = column.shape[0]
    column_values = column.values
    
    # compute mean and mean diffs
    mean = column_values.mean()
    mean_diff = column_values - mean
    
    # compute sample skewness
    skew_numerator = (1/n) * sum(mean_diff**3)
    skew_denominator = ((1/n) * sum(mean_diff**2))**(3/2)
    s = skew_numerator/skew_denominator
    
    # compute sample kurtosis
    kurtosis_numerator = (1/n) * sum(mean_diff**4)
    kurtosis_denominator = ((1/n) * sum(mean_diff**2))**2
    k = kurtosis_numerator/kurtosis_denominator
    
    # compute JB test statistic
    jb = (n/6) * (s**2 + (1/4)*(k - 3)**2)
    
    return jb