fisher.method: Fisher's Method

In RecordTest: Inference Tools in Time Series Based on Record Statistics

Fisher's Method

Description

Performs Fisher's method, which is used to combine the p-values from several independent tests bearing upon the same overall null hypothesis.

Usage

fisher.method(p.values)

Arguments

p.values

A vector containing the p-values from the single tests.

Details

Fisher's method (Fisher, 1925) combines the p-values from k independent tests, into one test statistic using the following formula:

-2 \sum_{i=1}^{k} \log(p_{i}) \sim \chi_{2k}^{2},

where p_i is the p-value for the ith hypothesis test.

For example, Foster and Stuart (1954) proposed this method to combine the information of the p-values from the D and S-statistics (see Examples), since they are independent.

Value

A "htest" object with elements:

statistic	Value of the test statistic.
parameter	Degrees of freedom.
p.value	P-value.
method	A character string indicating the type of test performed.
data.name	A character string giving the name of the data.

Author(s)

Jorge Castillo-Mateo

References

Fisher RA (1925). Statistical Methods for Research Workers. Oliver and Boyd, Edinburgh.

Foster FG, Stuart A (1954). “Distribution-Free Tests in Time-Series Based on the Breaking of Records.” Journal of the Royal Statistical Society B, 16(1), 1-22. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/j.2517-6161.1954.tb00143.x")}.

See Also

brown.method, foster.test

Examples

# Join the independent p-values of the D and S-statistics
fisher.method(c(foster.test(ZaragozaSeries, statistic = "D")$p.value,
  foster.test(ZaragozaSeries, statistic = "S")$p.value))
# Adding weights
fisher.method(c(foster.test(ZaragozaSeries, weights = function(t) t-1, statistic = "D")$p.value,
  foster.test(ZaragozaSeries, weights = function(t) t-1, statistic = "S")$p.value))

RecordTest documentation built on Aug. 8, 2023, 1:09 a.m.