test-scaleTest: Two sample scale tests

In fBasics: Rmetrics - Markets and Basic Statistics

Two sample scale tests

Description

Tests if two series differ in their distributional scale parameter.

Usage

scaleTest(x, y, method = c("ansari", "mood"), 
    title = NULL, description = NULL)

Arguments

x, y	numeric vectors of data values.
method	a character string naming which test should be applied.
title	an optional title string, if not specified the inputs data name is deparsed.
description	optional description string, or a vector of character strings.

Details

The method="ansari" performs the Ansari-Bradley two-sample test for a difference in scale parameters. The test returns for any sizes of the series x and y the exact p value together with its asymptotic limit.

The method="mood", is another test which performs a two-sample test for a difference in scale parameters. The underlying model is that the two samples are drawn from f(x-l) and f((x-l)/s)/s, respectively, where l is a common location parameter and s is a scale parameter. The null hypothesis is s=1.

Value

an object from class fHTEST

Note

Some of the test implementations are selected from R's ctest package.

Author(s)

R-core team for hypothesis tests implemented from R's package ctest.

References

Conover, W. J. (1971); Practical nonparametric statistics, New York: John Wiley & Sons.

Lehmann E.L. (1986); Testing Statistical Hypotheses, John Wiley and Sons, New York.

Moore, D.S. (1986); Tests of the chi-squared type, In: D'Agostino, R.B. and Stephens, M.A., eds., Goodness-of-Fit Techniques, Marcel Dekker, New York.

Examples

## Generate Series:
x = rnorm(50)
y = rnorm(50)
   
scaleTest(x, y, "ansari")
scaleTest(x, y, "mood")

fBasics documentation built on Sept. 11, 2024, 6:34 p.m.