Package org.drip.validation.hypothesis

Class ProbabilityIntegralTransformTest

java.lang.Object
org.drip.validation.hypothesis.ProbabilityIntegralTransformTest
public class ProbabilityIntegralTransformTest
extends java.lang.Object
ProbabilityIntegralTransformTest implements Comparison Tests post a PIT Transform on the Hypothesis and/or Test Sample.

  • 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
  • Wetzels, R., D. Matzke, M. D. Lee, J. N. Rouder, G, J, Iverson, and E. J. Wagenmakers (2011): Statistical Evidence in Experimental Psychology: An Empirical Comparison using 855 t-Tests Perspectives in Psychological Science 6 (3) 291-298
  • Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value




Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • ProbabilityIntegralTransformTest

      public ProbabilityIntegralTransformTest​(ProbabilityIntegralTransform probabilityIntegralTransform) throws java.lang.Exception
      ProbabilityIntegralTransformTest Constructor
      Parameters:
      probabilityIntegralTransform - The Probability Integral Transform Instance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • probabilityIntegralTransform

      public ProbabilityIntegralTransform probabilityIntegralTransform()
      Retrieve the ProbabilityIntegralTransform Instance
      Returns:
      The ProbabilityIntegralTransform Instance

    • significanceTest

      public SignificanceTestOutcome significanceTest​(double testStatistic, SignificanceTestSetting significanceTestSetting)
      Run the Significance Test for the Realized Test Statistic
      Parameters:
      testStatistic - The Realized Test Statistic
      significanceTestSetting - The Significance Test Setting
      Returns:
      The Significance Test Result for the Realized Test Statistic

    • distanceTest

      public GapTestOutcome distanceTest​(ProbabilityIntegralTransform samplePIT, GapTestSetting gapTestSetting)
      Run a Distance Gap Test between the Hypothesis and the Sample
      Parameters:
      samplePIT - The Sample Probability Integral Transform
      gapTestSetting - The Distance Gap Test Setting
      Returns:
      The Distance Gap Test Outcome

    • histogramTest

      public HistogramTestOutcome histogramTest​(HistogramTestSetting histogramTestSetting)
      Run a Histogram Test Corresponding to the Test Statistic and its p-Value
      Parameters:
      histogramTestSetting - The Histogram Test Setting
      Returns:
      The Histogram Test Corresponding to the Test Statistic and its p-Value

    • qqTest

      public QQTestOutcome qqTest​(ProbabilityIntegralTransform samplePIT, PlottingPositionGenerator plottingPositionGenerator)
      Run the Quantile-Quantile Test
      Parameters:
      samplePIT - The Sample Probability Integral Transform
      plottingPositionGenerator - The Quantile-Quantile Test Plotting Position Generator
      Returns:
      The Quantile-Quantile Test Outcome