Package org.drip.validation.hypothesis

Class ProbabilityIntegralTransform

java.lang.Object
org.drip.validation.hypothesis.ProbabilityIntegralTransform
public class ProbabilityIntegralTransform
extends java.lang.Object
ProbabilityIntegralTransform holds the PIT Distribution CDF of the Test-Statistic Response over the Outcome Instances.

  • Bhattacharya, B., and D. Habtzghi (2002): Median of the p-value under the Alternate Hypothesis American Statistician 56 (3) 202-206
  • Head, M. L., L. Holman, R, Lanfear, A. T. Kahn, and M. D. Jennions (2015): The Extent and Consequences of p-Hacking in Science PLoS Biology 13 (3) e1002106
  • Wasserstein, R. L., and N. A. Lazar (2016): The ASA’s Statement on p-values: Context, Process, and Purpose American Statistician 70 (2) 129-133
  • Wikipedia (2018): Probability Integral Transform https://en.wikipedia.org/wiki/Probability_integral_transform
  • Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ProbabilityIntegralTransform​(java.util.Map<java.lang.Double,​java.lang.Double> testStatisticPValueMap)
    ProbabilityIntegralTransform Constructor

  • Method Summary

    Modifier and Type Method Description
    double pValue​(double testStatistic)
    Compute the p-Value corresponding to the Test Statistic Instance
    java.util.Map<java.lang.Double,​java.lang.Double> pValueTestStatisticMap()
    Retrieve the p Value - Test Statistic Map
    double testStatistic​(double pValue)
    Compute the Test Statistic Instance corresponding to the p-Value
    java.util.Map<java.lang.Double,​java.lang.Double> testStatisticPValueMap()
    Retrieve the Test Statistic - p Value Map

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • ProbabilityIntegralTransform

      public ProbabilityIntegralTransform​(java.util.Map<java.lang.Double,​java.lang.Double> testStatisticPValueMap) throws java.lang.Exception
      ProbabilityIntegralTransform Constructor
      Parameters:
      testStatisticPValueMap - Test Statistic - p Value Map
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • pValueTestStatisticMap

      public java.util.Map<java.lang.Double,​java.lang.Double> pValueTestStatisticMap()
      Retrieve the p Value - Test Statistic Map
      Returns:
      The p Value - Test Statistic Map

    • testStatisticPValueMap

      public java.util.Map<java.lang.Double,​java.lang.Double> testStatisticPValueMap()
      Retrieve the Test Statistic - p Value Map
      Returns:
      The Test Statistic - p Value Map

    • pValue

      public double pValue​(double testStatistic) throws java.lang.Exception
      Compute the p-Value corresponding to the Test Statistic Instance
      Parameters:
      testStatistic - The Test Statistic Instance
      Returns:
      The p-Value
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • testStatistic

      public double testStatistic​(double pValue) throws java.lang.Exception
      Compute the Test Statistic Instance corresponding to the p-Value
      Parameters:
      pValue - The p-Value
      Returns:
      The Response Instance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid