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Statistics-Normality
INSTALLATION
To install this module, run the following commands:
perl Makefile.PL
make
make test
make install
NORMALITY TESTS
#######################
# SHAPIRO-WILK TEST #
#######################
The L<Shapiro-Wilk W-Statistic test|http://en.wikipedia.org/wiki/Shapiro%E2%80%93Wilk_test>
[Shapiro65] is considered to be among the most objective tests of
normality [Royston92] and also one of the most powerful ones for detecting
non-normality [Chen71].
Its statistic is essentially the roughly best unbiased estimator
of population standard deviation to the sample variance [Dagostino71].
The test is mathematically complex and most implementations use several
conventional approximations (as we do here), including Blom's formula
for the expected value of the order statistics [Harter61] and transformation
to standard normal distribution for evaluation, especially for large
samples [Royston92].
$pval = shapiro_wilk_test ([0.34, -0.2, 0.8, ...]);
($pval, $w_statistic) = shapiro_wilk_test ([0.34, -0.2, 0.8, ...]);
This test may not be the best if there are many repeated values in the test
distribution or when the number of points in the test distribution is very
large, e.g. more than 5000.
The routine will L<carp|Carp> about the latter, but not the
former.
This particular implementation of the test also requires at
least 6 data points in the sample distribution and will L<croak|Carp>
otherwise.
##############################
# D'AGOSTINO K-SQUARE TEST #
##############################
The L<D'Agostino K-Squared test|http://en.wikipedia.org/wiki/D%27Agostino%27s_K-squared_test> is a good test against non-normality arising from
L<kurtosis|http://en.wikipedia.org/wiki/Kurtosis> and/or
L<skewness|http://en.wikipedia.org/wiki/Skewness> [Dagostino90].
$pval = dagostino_k_square_test ([0.34, -0.2, ...]);
($pval, $ksq_statistic) = dagostino_k_square_test ([0.34, -0.2, ...]);
The test statistic depends upon both the sample kurtosis and skewness, as
well as the moments of these parameters from a normal population, as quantified
by Pearson's coefficients [Pearson31].
These are transformed [Dagostino70,Anscombe83] to expressions that sum
to the K-squared statistic, which is essentially chi-square-distributed
with 2 degrees of
freedom [Dagostino90].
The kurtosis transform, and thus the overall test, generally works best
when the sample distribution has at least 20 data points [Anscombe83] and the
routine will L<carp|Carp>
otherwise.
GENERAL IMPLEMENTATION NOTES FOR STATISTICAL TESTS
(1) Use standard Horner's Rule for polynomial evaluations, see e.g. Forsythe,
Malcolm, and Moler "Computer Methods for Mathematical Computations"
(1977) Prentice-Hall, pp 68.
(2) VAGARIES OF THE PERL Statistics::Distributions PACKAGE symmetric
This package is implemented in the opposite way that one : |
finds tables of the standard normal function presented in /:\ |
textbooks, where F(z) = A1 is the area from -infinity to : / : \ |
Z (or sometimes from 0 to Z). Instead, the Perl package :/ : \|
gives f(z) = A2 as the area from Z to +infinity, i.e. / : \
in the *context of a significance test*. Note the /: : |\
following implications for this package: / : A1 | \
/ : : |A2\
f(Z) = F(-Z) F(Z) + f(Z) + 1 __/___:___:___|___\___
-Z 0 Z
-1 -1 -1
udistr: Z = f [f(Z)] = f [1 - F(Z)] = f (1 - A1)
and the same appears to be true for other distributions in this package,
e.g. chi-square, student's T, etc.
(3) Tests that should perhaps be implemented in future versions:
* Anderson-Darling test
* Jarque-Bera test
SUPPORT AND DOCUMENTATION
After installing, you can find documentation for this module with the
perldoc command.
perldoc Statistics::Normality
You can also look for information at:
RT, CPAN's request tracker
http://rt.cpan.org/NoAuth/Bugs.html?Dist=Statistics-Normality
AnnoCPAN, Annotated CPAN documentation
http://annocpan.org/dist/Statistics-Normality
CPAN Ratings
http://cpanratings.perl.org/d/Statistics-Normality
Search CPAN
http://search.cpan.org/dist/Statistics-Normality/
COPYRIGHT AND LICENSE
Copyright (C) 2012 Mike Wendl
This program is free software; you can redistribute it and/or modify it
under the same terms as Perl itself.
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