For the KS-test of normality with estimated parameters see ?lillie.test in package nortest.
Best, Christian On Wed, 12 Jan 2005, Christoph Buser wrote: > Hi Kwabena > > I did once a simulation, generating normal distributed values > (500 values) and calculating a KS test with estimated > parameters. For 10000 times repeating this test I got about > 1 significant tests (on a level alpha=0.05 I'm expecting about 500 > significant tests by chance) > So I think if you estiamte the parameters from the data, you fit > to good and the used distribution of the test statistic is not > adequate as it is indicated in the help page you cited. There > (in the help page) is some literature, but it is no easy stuff > to read. > Furthermore I know no implementation of an KS test which > accounts for this estimation of the parameter. > > I recommend a graphical tool instead of a test: > > x <- rlnorm(100) > qqnorm(log(x)) > > See also ?qqnorm and ?qqplot. > > If you insist on testing a theoretical distribution be aware > that a non significant test does not mean that your data has the > tested distribution (especially if you have few data, there is > no power in the test to detect deviations from the theoretical > distribution and the conclusion that the data fits well is > trappy) > > If there are enough data I'd prefer a chi square test to the KS > test (but even there I use graphical tools instead). > > See ?chisq > > For this test you have to specify classes and this is > subjective (you can't avoid this). > > You can reduce the DF of the expected chi square distribution > (under H_0) by the number of estimated parameters from the data > and will get better results. > > DF = number of classes - 1 - estimated parameters > > I think this test is more powerful than the KS test, > particularly if you must estimate the parameters from data. > > Regards, > > Christoph > > -- > Christoph Buser <[EMAIL PROTECTED]> > Seminar fuer Statistik, LEO C11 > ETH (Federal Inst. Technology) 8092 Zurich SWITZERLAND > phone: x-41-1-632-5414 fax: 632-1228 > http://stat.ethz.ch/~buser/ > > > > Kwabena Adusei-Poku writes: > > Hello all, > > > > Would somebody be kind enough to show me how to do a KS test in R for a > > lognormal distribution with ESTIMATED parameters. The R function > > ks.test()says "the parameters specified must be prespecified and not > > estimated from the data" Is there a way to correct this when one uses > > estimated data? > > > > Regards, > > > > Kwabena. > > > > -------------------------------------------- > > Kwabena Adusei-Poku > > University of Goettingen > > Institute of Statistics and Econometrics > > Platz der Goettingen Sieben 5 > > 37073 Goettingen > > Germany > > Tel: +49-(0)551-394794 > > > > ______________________________________________ > > [email protected] mailing list > > https://stat.ethz.ch/mailman/listinfo/r-help > > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html > > ______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html > *********************************************************************** Christian Hennig Fachbereich Mathematik-SPST/ZMS, Universitaet Hamburg [EMAIL PROTECTED], http://www.math.uni-hamburg.de/home/hennig/ ####################################################################### ich empfehle www.boag-online.de ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
