# Minimum distance test based on a transform # # Author: François Pelletier ############################################################################### #' Minimum distance test based on a transform function of a random variable #' @param param Set of parameters to test #' @param data Individual data vector #' @param t Transform variate #' @param FUN Transform function (analytical) #' @param empFUN Transform function (empirical) #' @param alpha tolerance level #' @return A list containing the chi-square statistic, #' degree of freedom, hypothesis reject boolean and p.value #' @export md.test #' @author François Pelletier md.test <- function(param,data,t,FUN,empFUN,alpha=0.05) { n <- length(data) # Weight matrix Q <- MASS::ginv(outer(t,t,function(j,k) FUN(j+k,param)-FUN(j,param)*FUN(k,param))) # Vector of differences v <- sqrt(n) * (empFUN(t,data)-FUN(t,param)) md.stat <- Re(as.vector(t(v) %*% Q %*% v)) # Compute the test statistic using chi-square distribution p.value <- pchisq(md.stat,df<-length(t)) # Create the return list list(md.stat=md.stat,df=df,p.value=p.value) }