Carlos J. Gil Bellosta wrote:
Dear R-helpers,
I was testing the truncgof CRAN package, found something that looked
like a bug, and did my job: contacted the maintainer. But he did not
reply, so I am resending my query here.
I installed package truncgof and run the example for function ad.test. I
got the following output:
set.seed(123)
treshold <- 10
xc <- rlnorm(100, 2, 2) # complete sample
xt <- xc[xc >= treshold] # left truncated sample
ad.test(xt, "plnorm", list(meanlog = 2, sdlog = 2), H = 10)
Supremum Class Anderson-Darling Test
data: xt
AD = 3.124, p-value = 0.12
alternative hypothesis: two.sided
treshold = 10, simulations: 100
So I cannot reject the hipothesis (at a standard confidence level) that
the original sample comes from a lognormal distribution (as it is the
case).
But let us try to iterate on this example:
set.seed( 123 )
treshold <- 10
foo <- function(){
xc <- rlnorm(100, 2, 2) # complete sample
xt <- xc[xc >= treshold] # left truncated sample
ks.test(xt, "plnorm", list(meanlog = 2, sdlog = 2), H =
10)$p.value
}
results <- replicate( 100, foo() )
Then:
table( results )
results
0 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1 0.11 0.16 0.18
0.19 0.2
25 7 9 3 1 2 3 4 1 1 2 2 1 1
3 2
0.21 0.22 0.26 0.27 0.28 0.3 0.31 0.32 0.33 0.36 0.38 0.4 0.44 0.49
0.54 0.55
2 2 1 3 1 2 1 1 1 2 1 2 1 1
2 1
0.56 0.57 0.62 0.7 0.76 0.78 0.96 0.98
1 2 1 1 1 1 1 1
This is, in a 45% of the cases, you would reject the H_0 hypothesis,
which happens to be true, at the 5% "standard" confidence level.
That looks to me that the test as implemented is not very good. This
could be an implementation bug, but it could also be a limitation of the
test itself. I don't know the theory underlying this particular test,
but a way to determine it is in implementation bug is to carefully
implement the test and see if you got the same answer.
Duncan Murdoch
Do you think this behaviour is buggy? If so, given that the maintainer
does not seem to be contactable, what would be the next step to take?
Best regards,
Carlos J. Gil Bellosta
http://www.datanalytics.com
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and provide commented, minimal, self-contained, reproducible code.
