ss_stat: Sum-sum (SS) test statistic to identify dragon kings (DKs)

In dragonking: Statistical Tools to Identify Dragon Kings

Description

ss_stat calculates the SS test statistic to determine whether there is significant support for the existence of r DKs in vals. This test is susceptible to swamping.

Usage

ss_stat(vals, r)

Arguments

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

Value

SS test statistic

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>

Balakrishnan K (1996). Exponential distribution: Theory, methods and applications. CRC Press. pp. 228-30. ISBN: 9782884491921

Chikkagoudar MS, Kunchur SH (1983). Distributions of test statistics for multiple outliers in exponential samples. Commun Stat Theory Methods, 12: 2127-42. <doi:10.1080/03610928308828596>

Lewis T, Fieller NRJ (1979). A recursive algorithm for null distributions for outliers: I gamma samples. Technometrics, 21(3): 371-6. <doi:10.2307/1267762>

Examples

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

# calculate test statistic for DKs
ss_stat(temp, r = 3)

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