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p-r-random-tests.R
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p-r-random-tests.R
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##
## RNG tests using DKW inequality for rate of convergence
##
## P(sup | F_n - F | > t) < 2 exp(-2nt^2)
##
## The 2 in front of exp() was derived by Massart. It is the best possible
## constant valid uniformly in t,n,F. For large n*t^2 this agrees with the
## large-sample approximation to the Kolmogorov-Smirnov statistic.
##
superror <- function(rfoo,pfoo,sample.size,...) {
x <- rfoo(sample.size,...)
tx <- table(x)
xi <- as.numeric(names(tx))
f <- pfoo(xi,...)
fhat <- cumsum(tx)/sample.size
max(abs(fhat-f))
}
pdkwbound <- function(n,t) 2*exp(-2*n*t*t)
qdkwbound <- function(n,p) sqrt(log(p/2)/(-2*n))
dkwtest <- function(stub = "norm", ...,
sample.size = 10000, pthreshold = 0.001,
print.result = TRUE, print.detail = FALSE,
stop.on.failure = TRUE)
{
rfoo <- eval(as.name(paste("r", stub, sep="")))
pfoo <- eval(as.name(paste("p", stub, sep="")))
s <- superror(rfoo, pfoo, sample.size, ...)
if (print.result || print.detail) {
printargs <- substitute(list(...))
printargs[[1]] <- as.name(stub)
cat(deparse(printargs))
if (print.detail)
cat("\nsupremum error = ",signif(s,2),
" with p-value=",min(1,round(pdkwbound(sample.size,s),4)),"\n")
}
rval <- (s < qdkwbound(sample.size,pthreshold))
if (print.result)
cat(c(" FAILED\n"," PASSED\n",)[rval+1])
if (stop.on.failure && !rval)
stop("dkwtest failed")
rval
}
.proctime00 <- proc.time() # start timing
dkwtest("binom",size = 1,prob = 0.2)
dkwtest("binom",size = 2,prob = 0.2)
dkwtest("binom",size = 100,prob = 0.2)
dkwtest("binom",size = 1e4,prob = 0.2)
dkwtest("binom",size = 1,prob = 0.8)
dkwtest("binom",size = 100,prob = 0.8)
dkwtest("binom",size = 100,prob = 0.999)
dkwtest("pois",lambda = 0.095)
dkwtest("pois",lambda = 0.95)
dkwtest("pois",lambda = 9.5)
dkwtest("pois",lambda = 95)
dkwtest("nbinom",size = 1,prob = 0.2)
dkwtest("nbinom",size = 2,prob = 0.2)
dkwtest("nbinom",size = 100,prob = 0.2)
dkwtest("nbinom",size = 1e4,prob = 0.2)
dkwtest("nbinom",size = 1,prob = 0.8)
dkwtest("nbinom",size = 100,prob = 0.8)
dkwtest("nbinom",size = 100,prob = 0.999)
dkwtest("norm")
dkwtest("norm",mean = 5,sd = 3)
dkwtest("gamma",shape = 0.1)
dkwtest("gamma",shape = 0.2)
dkwtest("gamma",shape = 10)
dkwtest("gamma",shape = 20)
dkwtest("hyper",m = 40,n = 30,k = 20)
dkwtest("hyper",m = 40,n = 3,k = 20)
dkwtest("hyper",m = 6,n = 3,k = 2)
dkwtest("hyper",m = 5,n = 3,k = 2)
dkwtest("hyper",m = 4,n = 3,k = 2)
dkwtest("signrank",n = 1)
dkwtest("signrank",n = 2)
dkwtest("signrank",n = 10)
dkwtest("signrank",n = 30)
dkwtest("wilcox",m = 40,n = 30)
dkwtest("wilcox",m = 40,n = 10)
dkwtest("wilcox",m = 6,n = 3)
dkwtest("wilcox",m = 5,n = 3)
dkwtest("wilcox",m = 4,n = 3)
dkwtest("chisq",df = 1)
dkwtest("chisq",df = 10)
dkwtest("logis")
dkwtest("logis",location = 4,scale = 2)
dkwtest("t",df = 1)
dkwtest("t",df = 10)
dkwtest("t",df = 40)
dkwtest("beta",shape1 = 1, shape2 = 1)
dkwtest("beta",shape1 = 2, shape2 = 1)
dkwtest("beta",shape1 = 1, shape2 = 2)
dkwtest("beta",shape1 = 2, shape2 = 2)
dkwtest("beta",shape1 = .2,shape2 = .2)
dkwtest("cauchy")
dkwtest("cauchy",location = 4,scale = 2)
dkwtest("f",df1 = 1,df2 = 1)
dkwtest("f",df1 = 1,df2 = 10)
dkwtest("f",df1 = 10,df2 = 10)
dkwtest("f",df1 = 30,df2 = 3)
dkwtest("weibull",shape = 1)
dkwtest("weibull",shape = 4,scale = 4)
cat('Time elapsed: ', proc.time() - .proctime00,'\n')