/
f.jl
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/
f.jl
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# f.jl
# F-tests
#
# Copyright (C) 2019 Raphael Saavedra
#
# Permission is hereby granted, free of charge, to any person obtaining
# a copy of this software and associated documentation files (the
# "Software"), to deal in the Software without restriction, including
# without limitation the rights to use, copy, modify, merge, publish,
# distribute, sublicense, and/or sell copies of the Software, and to
# permit persons to whom the Software is furnished to do so, subject to
# the following conditions:
#
# The above copyright notice and this permission notice shall be
# included in all copies or substantial portions of the Software.
#
# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
# EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
# MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
# NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
# LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
# OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
# WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
export VarianceFTest
struct VarianceFTest <: HypothesisTest
n_x::Int # size of sample 1
n_y::Int # size of sample 2
df_x::Int # degrees of freedom 1
df_y::Int # degrees of freedom 2
F::Real # test statistic
end
"""
VarianceFTest(x::AbstractVector{<:Real}, y::AbstractVector{<:Real})
Perform an F-test of the null hypothesis that two real-valued vectors `x` and `y` have equal variances.
Implements: [`pvalue`](@ref)
# References
* George E. P. Box, "Non-Normality and Tests on Variances", Biometrika 40 (3/4): 318–335, 1953.
# External links
* [F-test of equality of variances on Wikipedia](https://en.wikipedia.org/wiki/F-test_of_equality_of_variances)
"""
function VarianceFTest(x::AbstractVector{<:Real}, y::AbstractVector{<:Real})
n1, n2 = length(x), length(y)
F = var(x) / var(y)
return VarianceFTest(n1, n2, n1-1, n2-1, F)
end
testname(::VarianceFTest) = "Variance F-test"
population_param_of_interest(x::VarianceFTest) = ("variance ratio", 1.0, x.F)
default_tail(test::VarianceFTest) = :both
function show_params(io::IO, x::VarianceFTest, ident)
println(io, ident, "number of observations: [$(x.n_x), $(x.n_y)]")
println(io, ident, "F statistic: $(x.F)")
println(io, ident, "degrees of freedom: [$(x.df_x), $(x.df_y)]")
end
function StatsAPI.pvalue(x::VarianceFTest; tail=:both)
dist = FDist(x.df_x, x.df_y)
if tail == :both
return 1 - 2*abs(cdf(dist, x.F) - 0.5)
elseif tail == :right
return 1 - cdf(dist, x.F)
elseif tail == :left
return cdf(dist, x.F)
else
throw(ArgumentError("tail=$(tail) is invalid"))
end
end