dk_test: Statistical test to identify dragon kings (DKs)

In dragonking: Statistical Tools to Identify Dragon Kings

Description

dk_test runs the DK test on the user parameters and returns a test statistic and corresponding p-value to aid in determining whether there is significant support for the existence of r DKs in vals.

Usage

dk_test(vals, r)

Arguments

vals	numeric vector with at least 3 elements
r	integer indicating number of DKs in vals

Value

DK test statistic and p-value (F distribution)

References

Wheatley S, Sornette D (2015). Multiple outlier detection in samples with exponential & pareto tails: Redeeming the inward approach & detecting dragon kings. Swiss Finance Institute Research Paper Series No. 15-28. <doi:10.2139/ssrn.2645709>

Pisarenko VF, Sornette D (2012). Robust statistical tests of dragon-kings beyond power law distributions. Eur Phys J Special Topics, 205: 95-115. <doi:10.1140/epjst/e2012-01564-8>

Examples

# generate a numeric vector with DKs
temp <- c(rexp(100),   # exponentially distributed RV
          15, 15, 15)  # DK elements

# test for DKs, where r is number of DKs thought to be in temp
results <- dk_test(temp, r = 3)

# print out test statistic (should be large) and p-value (should be small)
print(paste("Test statistic =", results["Test Statistic"]))
print(paste("p-value =", results["p-value"]))

Example output

[1] "Test statistic = 6.15220841506099"
[1] "p-value = 6.13242822418851e-06"

dragonking documentation built on May 2, 2019, 4:21 a.m.