[R] Bug in truncgof package?
Carlos J. Gil Bellosta
cgb at datanalytics.com
Sun May 31 14:46:02 CEST 2009
Dear R-helpers,
I was testing the truncgof CRAN package, found something that looked
like a bug, and did my job: contacted the maintainer. But he did not
reply, so I am resending my query here.
I installed package truncgof and run the example for function ad.test. I
got the following output:
set.seed(123)
treshold <- 10
xc <- rlnorm(100, 2, 2) # complete sample
xt <- xc[xc >= treshold] # left truncated sample
ad.test(xt, "plnorm", list(meanlog = 2, sdlog = 2), H = 10)
Supremum Class Anderson-Darling Test
data: xt
AD = 3.124, p-value = 0.12
alternative hypothesis: two.sided
treshold = 10, simulations: 100
So I cannot reject the hipothesis (at a standard confidence level) that
the original sample comes from a lognormal distribution (as it is the
case).
But let us try to iterate on this example:
set.seed( 123 )
treshold <- 10
foo <- function(){
xc <- rlnorm(100, 2, 2) # complete sample
xt <- xc[xc >= treshold] # left truncated sample
ks.test(xt, "plnorm", list(meanlog = 2, sdlog = 2), H =
10)$p.value
}
results <- replicate( 100, foo() )
Then:
> table( results )
results
0 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1 0.11 0.16 0.18
0.19 0.2
25 7 9 3 1 2 3 4 1 1 2 2 1 1
3 2
0.21 0.22 0.26 0.27 0.28 0.3 0.31 0.32 0.33 0.36 0.38 0.4 0.44 0.49
0.54 0.55
2 2 1 3 1 2 1 1 1 2 1 2 1 1
2 1
0.56 0.57 0.62 0.7 0.76 0.78 0.96 0.98
1 2 1 1 1 1 1 1
This is, in a 45% of the cases, you would reject the H_0 hypothesis,
which happens to be true, at the 5% "standard" confidence level.
Do you think this behaviour is buggy? If so, given that the maintainer
does not seem to be contactable, what would be the next step to take?
Best regards,
Carlos J. Gil Bellosta
http://www.datanalytics.com
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