SetTest (version 0.3.0)

test.phi.omni: calculate the right-tail probability of omnibus phi-divergence statistics under general correlation matrix.

Description

calculate the right-tail probability of omnibus phi-divergence statistics under general correlation matrix.

Usage

test.phi.omni(prob, M, K0, K1, S, onesided = FALSE, method = "ecc", ei = NULL)

Value

p-value of the omnibus test.

p-values of the individual phi-divergence test.

Arguments

prob

- vector of input p-values.

M

- correlation matrix of input statistics (of the input p-values).

K0

- vector of search range starts (from the k0th smallest p-value).

K1

- vector of search range ends (at the k1th smallest p-value).

S

- vector of the phi-divergence test parameters.

onesided

- TRUE if the input p-values are one-sided.

method

- default = "ecc": the effective correlation coefficient method in reference 2. "ave": the average method in reference 3, which is an earlier version of reference 2. The "ecc" method is more accurate and numerically stable than "ave" method.

ei

- the eigenvalues of M if available.

References

1. Hong Zhang, Jiashun Jin and Zheyang Wu. "Distributions and power of optimal signal-detection statistics in finite case", IEEE Transactions on Signal Processing (2020) 68, 1021-1033 2. Hong Zhang and Zheyang Wu. "The general goodness-of-fit tests for correlated data", Computational Statistics & Data Analysis (2022) 167, 107379 3. Hong Zhang and Zheyang Wu. "Generalized Goodness-Of-Fit Tests for Correlated Data", arXiv:1806.03668.

Examples

M = matrix(0.3,10,10) + diag(1-0.3, 10)
test.phi.omni(runif(10), M=M, K0=rep(1,2), K1=rep(5,2), S=c(1,2))