p.chisq.test: Pearson's Chi-Square Test for Probabilities of Record

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

Pearson's Chi-Square Test for Probabilities of Record

Description

This function performs a chi-square goodness-of-fit test based on the record probabiliteis p_t to study the hypothesis of the classical record model (i.e., of IID continuous RVs).

Usage

p.chisq.test(
  X,
  record = c("upper", "lower"),
  simulate.p.value = FALSE,
  B = 1000
)

Arguments

X	A numeric vector, matrix (or data frame).
record	A character string indicating the type of record to be calculated, "upper" or "lower".
simulate.p.value	Logical. Indicates whether to compute p-values by Monte Carlo simulation. It is recommended if the function returns a warning (see Details).
B	If simulate.p.value = TRUE, an integer specifying the number of replicates used in the Monte Carlo estimation.

Details

The null hypothesis of this chi-square test is that in every vector (columns of the matrix X), the probability of record at time t is 1/t as in the classical record model, and the alternative that the probabilities are not equal to those values. First, the chi-square goodness-of-fit statistics to study the null hypothesis H_0:\,p_t = 1/t are calculated for each time t=2,\ldots,T, where the observed value is the number of records at time t in the M vectors and the expected value under the null is M / t. The test statistic is the sum of the previous T-1 statistics and its distribution under the null is approximately \chi^2_{T-1}.

The chi-square approximation may not be valid with low M, since it requires expected values > 5 or up to 20\% of the expected values are between 1 and 5. If this condition is not satisfied, a warning is displayed. In order to avoid this problem, a simulate.p.value can be made by means of Monte Carlo simulations.

Value

A "htest" object with elements:

statistic	Value of the chi-squared statistic.
df	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

Benestad RE (2003). “How Often Can We Expect a Record Event?” Climate Research, 25(1), 3-13. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.3354/cr025003")}.

Benestad RE (2004). “Record-Values, Nonstationarity Tests and Extreme Value Distributions.” Global and Planetary Change, 44(1-4), 11–26. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.gloplacha.2004.06.002")}.

See Also

global.test, score.test, p.record, p.regression.test, lr.test

Examples

# Warning, M = 76 small for the value of T = 70
p.chisq.test(ZaragozaSeries)
# Simulate p-value
p.chisq.test(ZaragozaSeries, simulate.p.value = TRUE, B = 10000)

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