jdistlib.disttest

Class NormalityTest

java.lang.Object

jdistlib.disttest.NormalityTest

public class NormalityTest
extends java.lang.Object

A package about normality testing. Taken from various places.

Constructor Summary

Constructors

Constructor and Description
NormalityTest()

Method Summary

Modifier and Type	Method and Description
static double	anderson_darling_pvalue(double value, int n)
static double	anderson_darling_statistic(double[] X)
static double	cramer_vonmises_pvalue(double w, int n)
static double	cramer_vonmises_statistic(double[] X)
static double	dagostino_pearson_pvalue(double value)
static double	dagostino_pearson_statistic(double[] X) Calculate D'Agostino-Pearson test for normality.
static double	jarque_bera_pvalue(double value)
static double	jarque_bera_statistic(double[] X) Calculate Jarque-Bera Normality Test.
static double	kolmogorov_lilliefors_pvalue(double k, int n)
static double	kolmogorov_lilliefors_statistic(double[] X) Exactly identical as kolmogorov_smirnov_statistic
static double	kolmogorov_smirnov_pvalue(double d, double[] X) Deprecated.
static double	kolmogorov_smirnov_statistic(double[] X) Deprecated.
static double[]	kolmogorov_smirnov_test(double[] X) Perform Kolmogorov-Smirnov two-sided normality test.
static double	shapiro_francia_pvalue(double w, int n) P-value of Shapiro-Francia normality test
static double	shapiro_francia_statistic(double[] X) Shapiro-Francia normality test
static double	shapiro_wilk_pvalue(double w, int n)
static double	shapiro_wilk_statistic(double[] X) Invoke shapiro_wilk_statistic with sort = false
static double	shapiro_wilk_statistic(double[] x, boolean sort) Compute Shapiro-Wilk statistic

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

NormalityTest

public NormalityTest()

Method Detail

shapiro_wilk_statistic

public static final double shapiro_wilk_statistic(double[] X)

Invoke shapiro_wilk_statistic with sort = false

Parameters:

X - pre-sorted array of numbers

Returns:

shapiro_wilk_statistic

public static final double shapiro_wilk_statistic(double[] x,
                                                  boolean sort)

Compute Shapiro-Wilk statistic

Parameters:

X - array of number

sort - if true, then this function will attempt to sort the X first.

Returns:

shapiro_wilk_pvalue

public static final double shapiro_wilk_pvalue(double w,
                                               int n)

Parameters:

w -

n - The length of the array

Returns:

p value

anderson_darling_statistic

public static final double anderson_darling_statistic(double[] X)

anderson_darling_pvalue

public static final double anderson_darling_pvalue(double value,
                                                   int n)

Parameters:

value -

n - The length of the array

Returns:

p value

cramer_vonmises_statistic

public static final double cramer_vonmises_statistic(double[] X)

cramer_vonmises_pvalue

public static final double cramer_vonmises_pvalue(double w,
                                                  int n)

Parameters:

w -

n - The length of the array

Returns:

p value

dagostino_pearson_statistic

public static final double dagostino_pearson_statistic(double[] X)

Calculate D'Agostino-Pearson test for normality. Follows Chi^2 distribution with df = 2. This is the infamous omnibus test. Note: It breaks down for n <= 7. See:
Doornik, Hansen, An Omnibus Test for Univariate and Multivariate Normality, 1994

Parameters:

X -

Returns:

test statistic

dagostino_pearson_pvalue

public static final double dagostino_pearson_pvalue(double value)

jarque_bera_statistic

public static final double jarque_bera_statistic(double[] X)

Calculate Jarque-Bera Normality Test. Follows Chi^2 distribution with df = 2
http://en.wikipedia.org/wiki/Jarque-Bera_test

Parameters:

X -

Returns:

test statistic

jarque_bera_pvalue

public static final double jarque_bera_pvalue(double value)

kolmogorov_smirnov_test

public static final double[] kolmogorov_smirnov_test(double[] X)

Perform Kolmogorov-Smirnov two-sided normality test.

Parameters:

X -

Returns:

an array of two elements: The first is the test statistic, the second is the p-value

kolmogorov_smirnov_statistic

public static final double kolmogorov_smirnov_statistic(double[] X)

Deprecated.

Computation of Kolmogorov-Smirnov statistics. Deprecated. Please use kolmogorov_smirnov_test instead.

Parameters:

X -

Returns:

statistic

kolmogorov_smirnov_pvalue

public static final double kolmogorov_smirnov_pvalue(double d,
                                                     double[] X)

Deprecated.

Computation of Kolmogorov-Smirnov p-value. Deprecated. Please use kolmogorov_smirnov_test instead.

Parameters:

d -

X -

Returns:

p-value

kolmogorov_lilliefors_statistic

public static final double kolmogorov_lilliefors_statistic(double[] X)

Exactly identical as kolmogorov_smirnov_statistic

Parameters:

X -

Returns:

test statistic

kolmogorov_lilliefors_pvalue

public static final double kolmogorov_lilliefors_pvalue(double k,
                                                        int n)

Parameters:

k -

n - The length of the array

Returns:

p-value

shapiro_francia_statistic

public static final double shapiro_francia_statistic(double[] X)

Shapiro-Francia normality test

Parameters:

X - a sorted array of values

Returns:

test statistic

shapiro_francia_pvalue

public static final double shapiro_francia_pvalue(double w,
                                                  int n)

P-value of Shapiro-Francia normality test

Parameters:

w - the result from ShapiroFrancia's statistic

n - the length of the original array

Returns:

p-value