Approximating the distribution of the R/s statistic
Approximating the distribution of the R/s statistic
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DOI：
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发表时间：
2000
影响因子：
0.9
通讯作者：
D. Conniffe;J. E. Spencer
中科院分区：
文献类型：
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作者：
D. Conniffe;J. E. Spencer
在水文学中使用多年的R/s统计量越来越多地用于经济学，尽管对其确切分布的知识不足阻碍了进展。Harrison和Treacy（1997年）描述了一些应用，其中R/s作为检验统计量出现，他们得出了接近常规（5%等）的精确临界值。通过Monte Carlo模拟确定一系列样本值的显著性水平。本文探讨了两种方法。一个是对渐近分布的简单调整，大大提高了其上尾精度，另一个是对整个分布的近似，易于计算，适用于“P值”计算，在上尾也相当精确。Harrison和Treacy值和Monte Carlo模拟用于确认准确性。
The R/s statistic, used for many years in hydrology, is increasingly employed in economics, although deficiencies in knowledge about its exact distribution have inhibited progress. Harrison and Treacy (1997) described some applications where R/s arises as a test statistic and they derived close to exact critical values for conventional (5 per cent etc.) significance levels for a range of sample values through Monte Carlo simulation. This paper examines two approaches. One is a simple adjustment to the asymptotic distribution that improves its upper tail accuracy greatly and the other is an approximation to the whole distribution, easily computed and suitable for “P-value” calculation, which is also reasonably precise in the upper tail. The Harrison and Treacy values and Monte Carlo simulation are used to confirm accuracy.