wasthub

R package "wasthub" for learning classifier and calculating p-value of the test statistic for subgroup detecting in the robust linear regression models. In the paper Liu (2023), we propose a novel test statistic by taking the weighted average of the squared score test statistic (WASTHUB) over the nuisance parametric space. The proposed test statistics not only improve power, but also save dramatically computational time. Many common and useful models are considered, including models with change point or change plane. We propose a novel U-like test statistic to detect multiple change planes in the framework of EE.

Installation

#install.packages("devtools")
library(devtools)
install_github("xliusufe/wasthub")

Usage

• wasthub-manual.pdf ---------- Details of the usage of the package.

Example

library(wasthub)

## Testing

data(simulatedData_gaussian)
pvals <- pvalhuber(data = data_gaussian, method = "wast")
pvals

data(simulatedData_quantile)
pvals <- pvalhuber(data = data_quantile, method = "wast")
pvals


## Estimation

data(simulatedData_gaussian)
fit <- esthubcp(data = data_gaussian, method = "adaptive")
fit$alpha

data(simulatedData_quantile)
fit <- esthubcp(data = data_quantile, method = "adaptive")
fit$alpha
fit$beta

References

Andrews, D. W. K. and Ploberger, W. (1994). Optimal tests when a nuisance parameter is present only under the alternative. Econometrica, 62(6):1383-1414.

Davies, R. B. (1977). Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika, 64(2):247-254.

Davies, R. B. (1987). Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika, 74(1):33-43.

Fan, A., Rui, S., and Lu, W. (2017). Change-plane analysis for subgroup detection and sample size calculation. Journal of the American Statistical Association, 112(518):769-778.

Huang, Y., Cho, J., and Fong, Y. (2021). Threshold-based subgroup testing in logistic regression models in two phase sampling designs. Journal of the Royal Statistical Society: Series C. 70(2):291-311.

Liu, X. (2023). Change-plane testing in the generalized estimating equations. Manuscript.

Liu. X. (2023). Robust change-plane testing and learning based on Huber loss. Manuscript.

Development

This R package is developed by Xu Liu (liu.xu@sufe.edu.cn).