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).