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Possibly remove pupsilon from sr_unpaired_test #11
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Hello, I see there are some open issues for the sr_unpaired_test function. Would you consider it safe/advisable to use the function? |
I would guess that this test currently does not reach the nominal type I rate, but I have not had the time to perform the simulations. Perhaps I can do those easily. |
There may be problems with smaller sample sizes or in library(SharpeR)
set.seed(1234)
allpv <- replicate(1000,
{
x1 <- rnorm(100)
x2 <- rnorm(50)
srs <- list(as.sr(x1),as.sr(x2))
sr_unpaired_test(srs)$p.value
})
plot(ecdf(allpv))
# or:
library(txtplot)
xv <- ppoints(1000)
yv <- ecdf(allpv)(xv)
txtplot(xv,yv,width=80)
|
The
pupsilon
code is suspect, as the higher order cumulants may not be small enough to support truncation. Possibly this code should be replaced by a simulation based approach?The text was updated successfully, but these errors were encountered: