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mev (version 1.17)

scoreindep: Ramos and Ledford test of independence

Description

The Ramos and Ledford (2005) score test of independence is a modification of tests by Tawn (1988) and Ledford and Tawn (1996) for a logistic model parameter \(\alpha=1\); the latter two have scores with zero expectation, but the variance of the score are infinite, which produces non-regularity and yield test, once suitably normalized, that converge slowly to their asymptotic null distribution. The test, designed for bivariate samples, transforms observations to have unit Frechet margins and considers a bivariate censored likelihood approach for the logistic distribution.

Usage

scoreindep(xdat, p, test = c("ledford", "tawn"))

Value

a list with elements

stat

value of the score test statistic

pval

asymptotic p-value

test

test argument

Arguments

xdat

a n by 2 matrix of observations

p

probability level for the marginal threshold

test

string; if tawn, only censor observations in the upper quadrant when both variables are large as in Tawn (1988), otherwise censor marginally for ledford as in Ledford and Tawn (1996).

Examples

Run this code
samp <- rmev(n = 1000, d = 2,
    param = 0.99, model = "log")
scoreindep(samp, p = 0.9)

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