RecordTest (version 2.0.0)

fisher.method: Fisher's Method

Description

Performs Fisher's method, which is used to combine the p-values from several independent tests bearing upon the same overall null hypothesis.

Usage

fisher.method(p.values)

Arguments

p.values

A vector containing the p-values from the single tests.

Value

A "htest" object with elements:

statistic

Value of the test statistic.

parameter

Degrees of freedom.

p.value

P-value.

method

A character string indicating the type of test performed.

data.name

A character string giving the name of the data.

Details

Fisher's method (Fisher, 1925) combines the p-values from \(k\) independent tests, into one test statistic using the following formula: $$-2 \sum_{i=1}^{k} \log(p_{i}) \sim \chi_{2k}^{2},$$ where \(p_i\) is the p-value for the i-th hypothesis test.

For example, Foster and Stuart (1954) proposed this method to combine the information of the p-values from the \(D\) and \(S\)-statistics (see Examples), since they are independent.

References

Fisher RA (1925). Statistical Methods for Research Workers. Oliver and Boyd, Edinburgh.

Foster FG, Stuart A (1954). <U+201C>Distribution-Free Tests in Time-Series Based on the Breaking of Records.<U+201D> Journal of the Royal Statistical Society. Series B (Methodological), 16(1), 1-22.

See Also

brown.method, foster.test

Examples

# NOT RUN {
# Join the independent p-values of the D and S-statistics
fisher.method(c(foster.test(ZaragozaSeries, statistic = "D")$p.value,
                foster.test(ZaragozaSeries, statistic = "S")$p.value))
# Adding weights
fisher.method(c(foster.test(ZaragozaSeries, weights = function(t) t-1, statistic = "D")$p.value,
                foster.test(ZaragozaSeries, weights = function(t) t-1, statistic = "S")$p.value))

# }