| Type: | Package |
| Title: | Testing Goodness-of-Fit with the Kernel Density Estimator |
| Version: | 2.1-3 |
| Description: | Tests of goodness-of-fit based on a kernel smoothing of the data. References: Pavía (2015) <doi:10.18637/jss.v066.c01>. |
| Encoding: | UTF-8 |
| Depends: | stats, KernSmooth |
| License: | GPL-2 | GPL-3 [expanded from: GPL] |
| NeedsCompilation: | no |
| Packaged: | 2024-12-05 17:37:09 UTC; mariaamparo |
| Author: | Jose M. Pavía 
[aut, cre] |
| Maintainer: | Jose M. Pavía <jose.m.pavia@uv.es> |
| Repository: | CRAN |
| Date/Publication: | 2024-12-06 10:20:07 UTC |
Testing Goodness-of-fit with the Kernel Density Estimator
Description
Tests of goodness-of-fit based on kernel smoothing of the data.
Details
| Package: | GoFKernel |
| Depends: | R (>=2.17.3), stats, KernSmooth (>=2.23-8) |
| Type: | Package |
| Version: | 2.1-1 |
| Date: | 2018-05-26 |
| License: | GPL |
The most important functions in GoFKernel are dgeometric.test and fan.test.
Author(s)
Jose M. Pavia
Maintainer: Jose M. Pavia <Jose.M.Pavia@uv.es>
References
Fan, Y (1994) "Testing the goodness-of-fit of a parametric density function by kernel method", Econometric Theory, 10, 316-356.
Li, O. and Racine, J.F. (2007) "Nonparametric Econometrics", Princeton University Press, New Jersey.
Pavia, JM (2015) "Testing Goodness-of-fit with the Kernel Density Estimator: GoFKernel", Journal of Statistical Software, Code Snippets, 66(1), 1–27.
Area between a Density Function and a Kernel Estimate
Description
The function area.between is an (internal) function of the GoFKernel package that calculates the area,
in a given interval, between a theoretical density function and an empirical
kernel estimate. area.between is called by dgeometric.test of the GoFKernel package.
Usage
area.between(f, kernel.density, lower = -Inf, upper = Inf)
Arguments
f |
a density function. |
kernel.density |
an empirical kernel estimate, an object of the class |
lower |
lower limit of the support of f, default -Inf. |
upper |
upper limit of the support of f, default Inf. |
Details
area.between is called by dgeometric.test and numerically calculates
the area between the density function of the null hypothesis and the kernel density estimate
of either the observed sample or a simulated sample from f.
Value
A number corresponding to the numerical value of the area between a density function and a kernel estimate.
Author(s)
Jose M. Pavia
See Also
density.reflected, dgeometric.test, inverse
random.function, support.facto and
density
Examples
## Unbounded example
x <- rnorm(100)
dx <- density(x)
area.between(dnorm, dx)
## Bounded example
x <- rbeta(100, 1.3, 2)
dx <- density.reflected(x, lower=0, upper=1)
area.between(dunif, dx)
Kernel Density Estimation with Reflection
Description
The function density.reflected computes kernel density estimates for univariate observations using reflection in the borders.
Usage
## S3 method for class 'reflected'
density(x, lower = -Inf, upper = Inf, weights= NULL, ...)
Arguments
x |
a numeric vector of data from which the estimate is to be computed. |
lower |
the lower limit of the interval to which x is theoretically constrained, default -Inf. |
upper |
the upper limit of the interval to which x is theoretically constrained, default, Inf. |
weights |
numeric vector of non-negative observation weights, hence of same length as x. The default NULL is equivalent to weights = rep(1/length(x), length(x)). |
... |
further |
Details
density.reflected is called by dgeometric.test and computes the density
kernel estimate of a univariate random sample x of a random variable defined in
the interval (lower,upper) using the default options of density and reflection in the borders.
This avoids the density kernel estimate being underestimated in the proximity of lower or upper.
For unbounded variables, density.reflected generates the same output as density with its default options.
Value
An object of the class density with borders correction, whose underlying structure
is a list containing the following components.
x |
the |
y |
the estimated density values. These will be non-negative. |
bw |
the bandwidth used. |
n |
the sample size after elimination of missing values. |
call |
the call which produced the result. |
data.name |
the deparsed name of the |
has.na |
logical, for compatibility (always |
The print method reports summary values on the x and y components.
Note
The function is based on density.
Author(s)
Jose M. Pavia
References
Becker, R. A., Chambers, J. M. and Wilks, A. R. (1988) "The New S Language." Wadsworth & Brooks/Cole (for S version).
Scott, D. W. (1992) "Multivariate Density Estimation. Theory, Practice and Visualization." New York: Wiley.
Sheather, S. J. and Jones M. C. (1991) "A reliable data-based bandwidth selection method for kernel density estimation." J. Roy. Statist. Soc. B, 683–690.
Silverman, B. W. (1986) "Density Estimation." London: Chapman and Hall.
Venables, W. N. and Ripley, B. D. (2002) "Modern Applied Statistics with S." New York: Springer.
See Also
Examples
set.seed(234)
x <- runif(2000)
dx <- density.reflected(x,0,1)
## Plot of the density estimate with and without reflection
par(mfcol=c(1,2))
plot(dx, xlim=c(-0.1,1.1), ylim=c(0,1.1))
abline(h=1, col="red")
plot(density(x), xlim=c(-0.1,1.1), ylim=c(0,1.1))
abline(h=1, col="blue")
Geometric Goodness-of-fit Test
Description
Implementation of the goodness-of-fit test based on assessing the size of the area between the null hypothesis density function and a kernel density estimate of a sample.
Usage
dgeometric.test(x, fun.den, par = NULL, lower = -Inf, upper = Inf, n.sim = 101,
bw=NULL)
Arguments
x |
a numeric vector of data values for which the null hypothesis is tested. |
fun.den |
an actual density distribution function, such as |
par |
list of (additional) parameters of the density function under the null hypothesis, default NULL. |
lower |
lower end point of the support of the random variable defined by |
upper |
upper end point of the support of the random variable defined by |
n.sim |
number of iterations performed to calculate the |
bw |
a number indicating the bandwidth to be used in the empirical kernel estimate of the data,
default NULL. In its default option, the bandwidth varies in each simulated dataset and is the one
estimated by default by |
Details
dgeometric.test uses numerical integration and Monte Carlo simulation to implement
the test based on assessing the extend of the area between a null hypothesis density function
and a density kernel estimation. It works as follows. After computing by numerical integration the area
between the density function under the null hypothesis and its sample empirical kernel estimate obtained using
density.reflected, the p-value of the test is obtained by simulation as follows:
(i) drawing n.sim samples from fun.den with the same size length(x) of our actual
sample x; (ii) estimating the kernel density function for each of these new samples;
(iii) computing the area between the theoretical density and each of the estimates obtained in (ii);
and, (iv) calculating the p-value as the proportion of times the sample n.sim
areas computed in (iii) exceed the value of the area computed from the observed sample.
Value
The output is an object of the class htest exactly like for the Kolmogorov-Smirnov
test, ks.test.
A list containing the following components:
statistic |
the value of the test statistic. |
p.value |
the p-value of the test. |
method |
the character string "Geometric test". |
data.name |
a character string giving the name of the data. |
Note
dgeometric.test calls density.reflected and area.between
(and, in some circunstances, also inverse, random.function and support.facto),
which are (internal) functions of the package GoFKernel.
Author(s)
Jose M. Pavia
References
Pavia, JM (2015) "Testing Goodness-of-fit with the Kernel Density Estimator: GoFKernel", Journal of Statistical Software, Code Snippets, 66(1), 1–27.
See Also
area.between, density.reflected, inverse
random.function, support.facto and fan.test.
Examples
set.seed(12)
x <- rlnorm(50, meanlog=1, sdlog=1)
## test if x follows a Gamma distribution with shape .6 and rate .1
dgeometric.test(x, dgamma, par=list(shape=0.6, rate=0.1), lower=0, upper=Inf, n.sim=100)
f0 <- function(x) ifelse(x>=0 & x<=1, 2-2*x, 0)
## test if risk76.1929 follows the distribution characterized by f0
dgeometric.test(risk76.1929, f0, lower=0, upper=1, n.sim=21)
Univariate implementation of the test of Fan (1994) in the form proposed by Li and Racine (2007).
Description
Given a sample of a continuous univariate random variable and a density
function fun.den with support in the interval (lower, upper)),
fan.test considers the test whose null hypothesis is that the sample has fun.den as density function
and the test statistic and the corresponding p-value of the test based on the integral of the squared difference between
the null hypothesis density function and a kernel smoothing approximation.
To properly run, the KernSmooth package needs to be
installed, as in its default option it depends on the dpik function to estimate the bandwidth.
Usage
fan.test(x, fun.den, par = NULL, lower = -Inf, upper = Inf, kernel = "normal",
bw=NULL)
Arguments
x |
a numeric vector of data values for which the null hypothesis is tested. |
fun.den |
an actual density distribution function, such as |
par |
list of (additional) parameters of the density function under the null hypothesis, default NULL. |
lower |
lower end point of the support of the random variable defined by |
upper |
upper end point of the support of the random variable defined by |
kernel |
a character string with the kernel to be used, either "normal" (a N(0,1) density), "box" (a uniform in -1 to 1) or "epanech" (a Epanechnikov quadratic kernel), default "normal". |
bw |
a number indicating the bandwidth to be used in the empirical kernel estimate of the data,
default NULL. In its default option, the bandwidth is estimated using the |
Details
The Fan's test is based on a normal approximation of the integral of the squared difference between the null hypothesis density function and a kernel smoothing approximation. In Li and Racine's form it is obtained as the aggregation of (i) a sampling component, (ii) the integrate of the square of the kernel convolution of the density null function and (iii) the sum of the convolution of the density in the sampled values, see Li and Racine (2007, pp.380-1) for details.
Value
The output is an object of the class htest exactly like for the Kolmogorov-Smirnov
test, ks.test.
A list containing the following components:
statistic |
the value of the test statistic. |
p.value |
the p-value of the test. |
method |
the character string "Geometric test". |
data.name |
a character string giving the name of the data. |
Warning
fan.test calls the dpik function of KernSmooth
Note
To properly run the function requires the package KernSmooth
to be installed to estimate the bandwidth.
Author(s)
Jose M. Pavia
References
Fan, Y (1994) "Testing the goodness-of-fit of a parametric density function by kernel method", Econometric Theory, 10, 316–356.
Li, O. and Racine, J.F. (2007) "Nonparametric Econometrics", Princeton niversity Press, New Jersey.
See Also
dgeometric.test, integrate and dpik.
Examples
fan.test(runif(100), dunif, lower=0, upper=1)
f0 <- function(x) ifelse(x>=0 & x<=1, 2-2*x, 0)
## testing if risk76.1929 follows the distribution characterized by f0
fan.test(risk76.1929, f0, lower=0, upper=1, kernel="epanech")
Inverse CDF Function
Description
Function to calculate the inverse function of a cumulative distribution function.
Usage
inverse(f, lower = -Inf, upper = Inf)Arguments
f |
a cdf function for which we want to obtain its inverse. |
lower |
the lower limit of |
upper |
the upper limit of |
Details
inverse is called by random.function and calculates the inverse of a given
function f. inverse has been specifically designed to compute the inverse
of the cumulative distribution function of an absolutely continuous random variable, therefore
it assumes there is only a root for each value in the interval (0,1) between f(lower)
and f(upper). It is for internal use in dgeometric.test.
Value
A function, the inverse function of a cumulative distribution function f.
Note
This function uses either optim with default options method="L-BFGS-B" or uniroot
to derive the inverse function.
The upper endpoint must be strictly larger than the lower endpoint.
Author(s)
Jose M. Pavia
References
See the references in optim and uniroot.
See Also
dgeometric.test, integrate, optim, random.function,
support.facto and uniroot.
Examples
f <- function(x) pbeta(x, shape1=2, shape2=3)
f.inv <- inverse(f,lower=0,upper=1)
f.inv(.2)
Random Draw Generator
Description
This function generates random draws of a continuous random variable given either its density or its cumulative distribution function.
Usage
random.function(n = 1, f, lower = -Inf, upper = Inf, kind = "density")
Arguments
n |
number of draws, default 1. |
f |
either a density (default) or cumulative distribution function of the random variable. |
lower |
lower limit of the support of the random variable, default -Inf. |
upper |
upper limit of the support of the random variable, default Inf. |
kind |
character string with the function used to identify the distribution, either "density" (default) or "cumulative", as alternative. |
Details
random.function uses the method of the inverse of the cdf to generate random draws from f.
Value
A vector of length n with n draws from a random variable with density (or
cumulative distribution) function given by f.
Note
random.function is called by dgeometric.test when the corresponding r-
function (random generator of f) is not available in the environment. random.function
generates random samples from the null hypothesis density function specified in dgeometric.test.
Author(s)
Jose M. Pavia
See Also
dgeometric.test, integrate, inverse and support.facto.
Examples
f0 <- function(x) ifelse(x>=0 & x<=1, 2-2*x, 0)
random.function(10, f0, lower=0, upper=1, kind="density")
Inmigrants Exposed to Risk of Death
Description
Vector containing the time exposed to risk of death with 76 years during 2006 for the 2006 registered Spanish immigrants born in 1929.
Usage
data(risk76.1929)Format
The format is: num [1:362] 0.94 0.885 0.863 0.852 0.797 ...
Note
Under the null hypotheses of uniform distribution of date of birth and date of migration, this time exposed to risk is distributed as a f(x)=2-2x 0<x<1.
Source
Own elaboration from data available in www.ine.es
Examples
plot(density.reflected(risk76.1929, 0, 1))
"De Facto" Support
Description
support.facto computes the de facto numerical limits of a density function
with theoretical infinite support. This function is an (internal) function of
the GoFKernel package.
Usage
support.facto(f, lower = -Inf, upper = Inf)
Arguments
f |
a density function. |
lower |
theoretical lower limit of the support of the random variable, default -Inf. |
upper |
theoretical upper limit of the support of the random variable, default, Inf. |
Details
support.facto requires that the two first ordinary moments of f exist;
otherwise, support.facto returns the introduced limits.
Value
A two components vector with the de facto lower and upper limits of f.
Author(s)
Jose M. Pavia
See Also
area.between, dgeometric.test, inverse, random.function
and fan.test.
Examples
support.facto(dnorm)