Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

ENH: add inference for variance without normality assumptions #8293

Open
wants to merge 1 commit into
base: main
Choose a base branch
from

Conversation

josef-pkt
Copy link
Member

first version, mainly bonett for variance confidence interval using kurtosis
written while reading references in 8261

issues:
#8261 inference for variance
#8286 kurtosis and jarque-bera
#8289 inference for correlation (just references without details)

current plan

I just want to get the basic versions in mainly bonett, plain kurtosi-adjusted and traditional inference under normality assumptions.
There are too many options for additional variations of methods, e.g. for kurtosis small sample and bias corrections, and there is no obvious winner for those.

cases:

  • one-sample
  • variances_2indep
    • ratio: ftest and exp (as in bonnet)
    • diff not a large literature, confint based on MOVER, but doesn't easily translate to hypothesis test (would need inversion of confint)
    • tost: not implemented yet, a few references are available
  • power: just the basics, mainly based on NCSS/PASS (but that only includes methods based on normality assumption of data)

I would like to get some "score" versions (variance of test statistic base on null assumption), but there isn't much literature on it, confint requires derivation and needs to be verified by Monte Carlo.
Current versions and almost all the literature uses estimated variance in variance of test statistic, i.e. is wald-type.

However, exp transformation of variance ratio removes the variance from the variance of the test statistic. variance only enters through the kurtosis estimate.

@josef-pkt
Copy link
Member Author

no unit tests yet, I might have some test cases in notebooks.

I would like to merge the basic version with experimental api for 0.14, without restrictions on backwards compatibility in future changes except for basic methods like "bonett".

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Projects
None yet
Development

Successfully merging this pull request may close these issues.

1 participant