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Re: st: RE: How to test whether data follows Exp distribution?


From   Steve Samuels <sjsamuels@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: How to test whether data follows Exp distribution?
Date   Wed, 7 Jul 2010 10:25:42 -0400

"3. You can -stset- your variable as if it were a survival time and
follow with -streg, d(e)- specifying just the response, and no
predictors."
-streg, d(e)- will return


I think this is what Nick had in mind:''


*************************
set more off
webuse kva, clear
streg, d(e) //exponential, no parameters
streg, d(e) nohr // exponential log hazard

streg, d(w) nohr //weibull
streg, d(w) nohr vce(robust) // weibull
*************************

The test that ln_p = 0  from the last 2 commands is a test of the
weibull versus the exponential. For a test against parametric
alternatives, There are other one-parameter generalizations of the
exponential distribution, including gamma (in -streg-), Pareto,
Rayleigh. I would also guess that Lambert and Royston's flexible
spline models (-stpm- -stpm2- from SSC) can provide a test of a
constant hazard function.


Steve

-- 
Steven Samuels
sjsamuels@gmail.com
18 Cantine's Island
Saugerties NY 12477
USA
Voice: 845-246-0774
Fax: 206-202-4783



On Wed, Jul 7, 2010 at 6:33 AM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
> You're meant to knit your own alternative cumulative for the right-hand
> side. The
> equivalent would be
>
> ksmirnov x = 1 - exp(-x/r(mean))
>
> These tests loom large in mathematical statistics texts. (The prestige
> of Kolmogorov as one of the giants of probability theory and the
> generality and elegance of the underlying idea have, I guess, not
> hindered their survival from text to text.) But in my view they are not
> much use in practical data analysis:
>
> 1. Using parameters estimated from the data, as is typical, has worried
> some statisticians in the past. The orthodox calculation presumes that
> parameter values are somehow known. The manual entry makes light of
> this, but it should be mentioned.
>
> 2. More importantly, and as the manual entry does make clear, these
> tests are not much use for picking up deviations in the tails. (Observed
> and expected cumulatives necessarily both converge to 0 and 1 in the two
> tails.) For work with distributions like the exponential, what is going
> on in the far tail is very likely to be of great concern both
> scientifically and statistically.
>
> 3. A test result does not indicate exactly what is going on. Knowing the
> reason for rejection -- or of failure to reject -- will be of more
> guidance to your data analysis than getting a P-value. Graphs are
> critical here, as Maarten flags.
>
> There are plenty of alternatives, however. In addition to Maarten's
> -hangroot-,
>
> 1. -qexp- and -pexp- from SSC offer canned Q-Q and P-P plots for the
> exponential. Note that
>
> SJ-7-2  gr0027  . .  Stata tip 47: Quantile-quantile plots without
> programming
>        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  N.
> J. Cox
>        Q2/07   SJ 7(2):275--279                                 (no
> commands)
>        tip on producing various quantile-quantile (Q-Q) plots
>
> is now available to all, regardless of whether you subscribe to the SJ,
> given the SJ's 3-year moving window. This short paper explains the logic
> of Q-Q plots, gives references and includes the exponential as one of
> its examples.
>
> To help assess the lack of fit, you can easily produce a portfolio of
> plots for random samples of the same size from an exponential:
>
> sysuse auto, clear
>
> qexp price, saving(price)
>
> forval i = 1/24 {
>        gen exp`i' = -ln(runiform())
>        qexp exp`i', saving(g`i')
>        local names `names' "g`i'"
> }
>
> graph combine "price" `names'
>
> 2. -dpplot- (SJ) is another graphical approach.
>
> 3. You can -stset- your variable as if it were a survival time and
> follow with -streg, d(e)- specifying just the response, and no
> predictors. The information given bears indirectly on the question, but
> this is a formal test of exponentiality, as I understand it. Survival
> experts will be able to expand (or to rebut).
>
> Nick
> n.j.cox@durham.ac.uk
>
> Maarten L. Buis
>
> You can use -hangroot- to check an empirical distribution against, among
> others, an exponential distribution. To install it type in Stata -ssc
> install hangroot-.
>
> Jabr, Wael M
>
> I am trying to find if the variable I have follows an exponential
> distribution. Tried to locate some goodness of fit tests but wasn't
> successful.
> After some long search I found the command ksmirnov. However, the help
> doesn't offer much on how to use it. They have an illustration for
> testing if a variable x follows normal distribution.
>
> ksmirnov x = normal((x-r(mean))/r(sd))
>
>
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>

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