SSJ
V. 1.2.5.

umontreal.iro.lecuyer.gof
Class GofFormat

java.lang.Object
  extended by umontreal.iro.lecuyer.gof.GofFormat

public class GofFormat
extends Object

This class contains methods used to format results of GOF test statistics, or to apply a series of tests simultaneously and format the results. It is in fact a translation from C to Java of a set of functions that were specially written for the implementation of TestU01, a software package for testing uniform random number generators.

Strictly speaking, applying several tests simultaneously makes the p-values ``invalid'' in the sense that the probability of having at least one p-value less than 0.01, say, is larger than 0.01. One must therefore be careful with the interpretation of these p-values (one could use, e.g., the Bonferroni inequality). Applying simultaneous tests is convenient in some situations, such as in screening experiments for detecting statistical deficiencies in random number generators. In that context, rejection of the null hypothesis typically occurs with extremely small p-values (e.g., less than 10-15), and the interpretation is quite obvious in this case.

The class also provides tools to plot an empirical or theoretical distribution function, by creating a data file that contains a graphic plot in a format compatible with the software specified by the environment variable graphSoft.

Note: This class uses the Colt library.


Field Summary
static boolean[] activeTests
          The set of EDF tests that are to be performed when calling the methods activeTests, formatActiveTests, etc.
static int AD
          Anderson-Darling test
static int CM
          Cramér-von Mises test
static int COR
          Correlation
static double EPSILONP
          Environment variable used in formatp0 to determine which p-values are too close to 0 or 1 to be printed explicitly.
static int GNUPLOT
          Data file format used for plotting functions with Gnuplot.
static int graphSoft
          Environment variable that selects the type of software to be used for plotting the graphs of functions.
static int KS
          Kolmogorov-Smirnov test
static int KSM
          Kolmogorov-Smirnov- test
static int KSP
          Kolmogorov-Smirnov+ test
static int MATHEMATICA
          Data file format used for creating graphics with Mathematica.
static int MEAN
          Mean
static int NTESTTYPES
          Total number of test types
static double SUSPECTP
          Environment variable used in formatp1 to determine which p-values should be marked as suspect when printing test results.
static String[] TESTNAMES
          Name of each testType test.
static int WG
          Watson G test
static int WU
          Watson U test
 
Method Summary
static void activeTests(DoubleArrayList data, ContinuousDistribution dist, double[] sVal, double[] pVal)
          The observations are in data, not necessarily sorted, and we want to compare their empirical distribution with the distribution dist.
static void activeTests(DoubleArrayList sortedData, double[] sVal, double[] pVal)
          Computes the EDF test statistics by calling tests, then computes the p-values of those that currently belong to activeTests, and return these quantities in sVal and pVal, respectively.
static String formatActiveTests(int n, double[] sVal, double[] pVal)
          Gets the p-values of the active EDF test statistics, which are in activeTests.
static String formatChi2(int k, int d, double chi2)
          Computes the p-value of the chi-square statistic chi2 for a test with k intervals.
static String formatKS(DoubleArrayList data, ContinuousDistribution dist)
          Computes the KS test statistics to compare the empirical distribution of the observations in data with the theoretical distribution dist and formats the results.
static String formatKS(int n, double dp, double dm, double d)
          Computes the p-values of the three Kolmogorov-Smirnov statistics DN+, DN-, and DN, whose values are in dp, dm, d, respectively, assuming a sample of size n.
static String formatKSJumpOne(DoubleArrayList data, ContinuousDistribution dist, double a)
          Similar to formatKS, but for DN+(a).
static String formatKSJumpOne(int n, double a, double dp)
          Similar to formatKS, but for the KS statistic DN+(a).
static String formatp0(double p)
          Returns the significance level (or p-value) p of a test, in the format ``1 - p'' if p is close to 1, and p otherwise.
static String formatp1(double p)
          Returns the string ``Significance level of test : '', then calls formatp0 to print p, and adds the marker ``****'' if p is considered suspect (uses the environment variable RSUSPECTP for this).
static String formatp2(double x, double p)
          Returns x on a single line, then go to the next line and calls formatp1.
static String formatp3(String testName, double x, double p)
          Formats the test statistic x for a test named testName with p-value p.
static String graphDistUnif(DoubleArrayList data, String desc)
          Formats data to plot the empirical distribution of U(1),..., U(N), which are assumed to be in data[0...N-1], and to compare it with the uniform distribution.
static String graphFunc(ContinuousDistribution dist, double a, double b, int m, int mono, String desc)
          Prints data to plot the graph of function F over the interval [a, b], and returns the result as a String.
static String iterPowRatioTests(DoubleArrayList sortedData, int k, boolean printval, boolean graph, PrintWriter f)
          Similar to iterSpacingsTests, but with the GofStat.powerRatios transformation.
static String iterSpacingsTests(DoubleArrayList sortedData, int k, boolean printval, boolean graph, PrintWriter f)
          Repeats the following k times: Applies the GofStat.iterateSpacings transformation to the U(0),..., U(N-1), assuming that these observations are in sortedData, then computes the EDF test statistics and calls activeTests after each transformation.
static void tests(DoubleArrayList data, ContinuousDistribution dist, double[] sVal)
          The observations V are in data, not necessarily sorted, and their empirical distribution is compared with the continuous distribution dist.
static void tests(DoubleArrayList sortedData, double[] sVal)
          Computes all EDF test statistics to compare the empirical distribution of U(0),..., U(N-1) with the uniform distribution, assuming that these sorted observations are in sortedData.
 
Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Field Detail

GNUPLOT

public static final int GNUPLOT
Data file format used for plotting functions with Gnuplot.

See Also:
Constant Field Values

MATHEMATICA

public static final int MATHEMATICA
Data file format used for creating graphics with Mathematica.

See Also:
Constant Field Values

graphSoft

public static int graphSoft
Environment variable that selects the type of software to be used for plotting the graphs of functions. The data files produced by graphFunc and graphDistUnif will be in a format suitable for this selected software. The default value is GNUPLOT. To display a graphic in file f using gnuplot, for example, one can use the command ``plot f with steps, x with lines'' in gnuplot. graphSoft can take the values GNUPLOT or MATHEMATICA.


EPSILONP

public static double EPSILONP
Environment variable used in formatp0 to determine which p-values are too close to 0 or 1 to be printed explicitly. If EPSILONP = ε, then any p-value (or significance level) less than ε or larger than 1 - ε is not written explicitly; the program simply writes ``eps'' or ``1-eps''. The default value is 10-15.


SUSPECTP

public static double SUSPECTP
Environment variable used in formatp1 to determine which p-values should be marked as suspect when printing test results. If SUSPECTP = α, then any p-value (or significance level) less than α or larger than 1 - α is considered suspect and is ``singled out'' by formatp1. The default value is 0.01.


KSP

public static final int KSP
Kolmogorov-Smirnov+ test

See Also:
Constant Field Values

KSM

public static final int KSM
Kolmogorov-Smirnov- test

See Also:
Constant Field Values

KS

public static final int KS
Kolmogorov-Smirnov test

See Also:
Constant Field Values

AD

public static final int AD
Anderson-Darling test

See Also:
Constant Field Values

CM

public static final int CM
Cramér-von Mises test

See Also:
Constant Field Values

WG

public static final int WG
Watson G test

See Also:
Constant Field Values

WU

public static final int WU
Watson U test

See Also:
Constant Field Values

MEAN

public static final int MEAN
Mean

See Also:
Constant Field Values

COR

public static final int COR
Correlation

See Also:
Constant Field Values

NTESTTYPES

public static final int NTESTTYPES
Total number of test types

See Also:
Constant Field Values

TESTNAMES

public static final String[] TESTNAMES
Name of each testType test. Could be used for printing the test results, for example.


activeTests

public static boolean[] activeTests
The set of EDF tests that are to be performed when calling the methods activeTests, formatActiveTests, etc. By default, this set contains KSP, KSM, and AD. Note: MEAN and COR are always excluded from this set of active tests. The valid indices for this array are KSP, KSM, KS, AD, CM, WG, WU, MEAN, and COR.

Method Detail

graphFunc

public static String graphFunc(ContinuousDistribution dist,
                               double a,
                               double b,
                               int m,
                               int mono,
                               String desc)
Prints data to plot the graph of function F over the interval [a, b], and returns the result as a String. dist.cdf (x) or dist.barF (x) returns the value of F at x, and that F is either non-decreasing or non-increasing. If mono = 1, the method will verify that F is non-decreasing; if mono = -1, it will verify that bar(F) is non-increasing. (This is useful to verify if F is effectively a sensible approximation to a distribution function or its complementary in the given interval.) The String desc should give a short caption for the graphic plot. The method computes the m + 1 points (xiF(xi)), where xi = a + i(b - a)/m for i = 0, 1,…, m, and formats these points into a String in a format suitable for the software specified by graphSoft.

Parameters:
dist - continuous distribution function to plot
a - lower bound of the interval to plot
b - upper bound of the interval to plot
m - number of points in the plot minus one
mono - 1 for plotting a distribution function, -1 if for a complementary distribution function
desc - short caption describing the plot
Returns:
a string representation of the plot data

graphDistUnif

public static String graphDistUnif(DoubleArrayList data,
                                   String desc)
Formats data to plot the empirical distribution of U(1),..., U(N), which are assumed to be in data[0...N-1], and to compare it with the uniform distribution. The two endpoints (0, 0) and (1, 1) are always included in the plot. The string desc should give a short caption for the graphic plot. The data is printed in a format suitable for the software specified by graphSoft.

Parameters:
data - array of observations to plot
desc - short caption describing the plot
Returns:
a string representation of the plot data

formatp0

public static String formatp0(double p)
Returns the significance level (or p-value) p of a test, in the format ``1 - p'' if p is close to 1, and p otherwise. Uses the environment variable EPSILONP and replaces p by ε when it is too small.

Parameters:
p - the p-value or significance level to be formated
Returns:
the string representation of the p-value

formatp1

public static String formatp1(double p)
Returns the string ``Significance level of test : '', then calls formatp0 to print p, and adds the marker ``****'' if p is considered suspect (uses the environment variable RSUSPECTP for this).

Parameters:
p - the p-value or significance level to be formated
Returns:
the string representation of the significance level of test

formatp2

public static String formatp2(double x,
                              double p)
Returns x on a single line, then go to the next line and calls formatp1.

Parameters:
x - value of the statistic for which the significance level is formated
p - the p-value or significance level to be formated
Returns:
the string representation of the significance level of test

formatp3

public static String formatp3(String testName,
                              double x,
                              double p)
Formats the test statistic x for a test named testName with p-value p. The first line of the returned string contains the name of the test and the statistic whereas the second line contains its significance level. The formated values of x and p are aligned.

Parameters:
testName - name of the test that was performed
x - value of the test statistic
p - significance level (or p-value) of the test
Returns:
the string representation of the test result

formatChi2

public static String formatChi2(int k,
                                int d,
                                double chi2)
Computes the p-value of the chi-square statistic chi2 for a test with k intervals. Uses d decimal digits of precision in the calculations. The result of the test is returned as a string. The p-value is computed using pDisc.

Parameters:
k - number of subintervals for the chi-square test
chi2 - chi-square statistic
Returns:
the string representation of the test result and p-value

formatKS

public static String formatKS(int n,
                              double dp,
                              double dm,
                              double d)
Computes the p-values of the three Kolmogorov-Smirnov statistics DN+, DN-, and DN, whose values are in dp, dm, d, respectively, assuming a sample of size n. Then formats these statistics and their p-values using formatp2 for each one.

Parameters:
n - sample size
dp - value of the DN+ statistic
dm - value of the DN- statistic
d - value of the DN statistic
Returns:
the string representation of the Kolmogorov-Smirnov statistics and their significance levels

formatKS

public static String formatKS(DoubleArrayList data,
                              ContinuousDistribution dist)
Computes the KS test statistics to compare the empirical distribution of the observations in data with the theoretical distribution dist and formats the results.

Parameters:
data - array of observations to be tested
dist - assumed distribution of the observations
Returns:
the string representation of the Kolmogorov-Smirnov statistics and their significance levels

formatKSJumpOne

public static String formatKSJumpOne(int n,
                                     double a,
                                     double dp)
Similar to formatKS, but for the KS statistic DN+(a). Writes a header, computes the p-value and calls formatp2.

Parameters:
n - sample size
a - size of the jump
dp - value of DN+(a)
Returns:
the string representation of the Kolmogorov-Smirnov statistic and its significance level

formatKSJumpOne

public static String formatKSJumpOne(DoubleArrayList data,
                                     ContinuousDistribution dist,
                                     double a)
Similar to formatKS, but for DN+(a).

Parameters:
data - array of observations to be tested
dist - assumed distribution of the data
a - size of the jump
Returns:
string representation of the Kolmogorov-Smirnov statistic and its significance level

tests

public static void tests(DoubleArrayList sortedData,
                         double[] sVal)
Computes all EDF test statistics to compare the empirical distribution of U(0),..., U(N-1) with the uniform distribution, assuming that these sorted observations are in sortedData. If N > 1, returns sVal with the values of the KS statistics DN+, DN- and DN, of the Cramér-von Mises statistic WN2, Watson's GN and UN2, Anderson-Darling's AN2, and the average of the Ui's, respectively. If N = 1, only puts 1 -sortedData.get (0) in sVal[KSP]. Calling this method is more efficient than computing these statistics separately by calling the corresponding methods in GofStat.

Parameters:
sortedData - array of sorted observations
sVal - array that will be filled with the results of the tests

tests

public static void tests(DoubleArrayList data,
                         ContinuousDistribution dist,
                         double[] sVal)
The observations V are in data, not necessarily sorted, and their empirical distribution is compared with the continuous distribution dist. If N = 1, only puts data.get (0) in sVal[MEAN], and 1 -dist.cdf (data.get (0)) in sVal[KSP].

Parameters:
data - array of observations to test
dist - assumed distribution of the observations
sVal - array that will be filled with the results of the tests

activeTests

public static void activeTests(DoubleArrayList sortedData,
                               double[] sVal,
                               double[] pVal)
Computes the EDF test statistics by calling tests, then computes the p-values of those that currently belong to activeTests, and return these quantities in sVal and pVal, respectively. Assumes that U(0),..., U(N-1) are in sortedData and that we want to compare their empirical distribution with the uniform distribution. If N = 1, only puts 1 -sortedData.get (0) in sVal[KSP], pVal[KSP], and pVal[MEAN].

Parameters:
sortedData - array of sorted observations
sVal - array that will be filled with the results of the tests
pVal - array that will be filled with the p-values

activeTests

public static void activeTests(DoubleArrayList data,
                               ContinuousDistribution dist,
                               double[] sVal,
                               double[] pVal)
The observations are in data, not necessarily sorted, and we want to compare their empirical distribution with the distribution dist. If N = 1, only puts data.get(0) in sVal[MEAN], and 1 -dist.cdf (data.get (0)) in sVal[KSP], pVal[KSP], and pVal[MEAN].

Parameters:
data - array of observations to test
dist - assumed distribution of the observations
sVal - array that will be filled with the results of the tests
pVal - array that will be filled with the p-values

formatActiveTests

public static String formatActiveTests(int n,
                                       double[] sVal,
                                       double[] pVal)
Gets the p-values of the active EDF test statistics, which are in activeTests. It is assumed that the values of these statistics and their p-values are already computed, in sVal and pVal, and that the sample size is n. These statistics and p-values are formated using formatp2 for each one. If n=1, prints only pVal[KSP] using formatp1.

Parameters:
n - sample size
sVal - array containing the results of the tests
pVal - array containing the p-values
Returns:
the results formated as a string

iterSpacingsTests

public static String iterSpacingsTests(DoubleArrayList sortedData,
                                       int k,
                                       boolean printval,
                                       boolean graph,
                                       PrintWriter f)
Repeats the following k times: Applies the GofStat.iterateSpacings transformation to the U(0),..., U(N-1), assuming that these observations are in sortedData, then computes the EDF test statistics and calls activeTests after each transformation. The function returns the original array sortedData (the transformations are applied on a copy of sortedData). If printval = true, stores all the values into the returned String after each iteration. If graph = true, calls graphDistUnif after each iteration to print to stream f the data for plotting the distribution function of the Ui.

Parameters:
sortedData - array containing the sorted observations
k - number of times the tests are applied
printval - if true, stores all the values of the observations at each iteration
graph - if true, the distribution of the Ui will be plotted after each iteration
f - stream where the plots are written to
Returns:
a string representation of the test results

iterPowRatioTests

public static String iterPowRatioTests(DoubleArrayList sortedData,
                                       int k,
                                       boolean printval,
                                       boolean graph,
                                       PrintWriter f)
Similar to iterSpacingsTests, but with the GofStat.powerRatios transformation.

Parameters:
sortedData - array containing the sorted observations
k - number of times the tests are applied
printval - if true, stores all the values of the observations at each iteration
graph - if true, the distribution of the Ui will be plotted after each iteration
f - stream where the plots are written to
Returns:
a string representation of the test results

SSJ
V. 1.2.5.

To submit a bug or ask questions, send an e-mail to Pierre L'Ecuyer.