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Re: Determining if samples are normal
From: |
Henry F. Mollet |
Subject: |
Re: Determining if samples are normal |
Date: |
Mon, 26 Sep 2005 14:37:09 -0700 |
User-agent: |
Microsoft-Entourage/11.1.0.040913 |
Am I doing this correctly? Anderson_darling_test of cdf normal and cdf
logistic give the same result (0.01). Graphs shows that they are different.
Henry
octave:21> x=linspace (-4,4,100);
octave:22> mu=0.0; sigma = 1.0;
octave:23> cnormalx=0.5+0.5.*erf((x-mu)./sigma./sqrt(2));
octave:24> plot (x,cnormalx,"x")
octave:25> anderson_darling_test(cnormalx,'normal')
ans = 0.010000
octave:26> a=0; lambda=2;
octave:27> clogisticx=1.0./(1.0+exp(-lambda.*(x-a)));
octave:28> hold on
octave:30> plot (x,clogisticx,"@33")
octave:31> anderson_darling_test(clogisticx,'normal')
ans = 0.010000
on 9/26/05 12:55 AM, Paul Kienzle at address@hidden wrote:
> The Anderson-Darling test is claimed to be pretty good:
>
> http://www.itl.nist.gov/div898/handbook/prc/section2/prc213.htm
> http://www.itl.nist.gov/div898/handbook/eda/section3/eda35e.htm
>
> Here's the relevant section from the R manual:
>
> http://www.maths.lth.se/help/R/.R/library/nortest/html/ad.test.html
>
>> The Anderson-Darling test is an EDF omnibus test for the composite
>> hypothesis of normality. The test statistic is
>>
>> A^2 = -n -frac{1}{n} sum_{i=1}^{n} [2i-1] [ln(p_{(i)}) + ln(1 -
>> p_{(n-i+1)})],
>>
>> where p_{(i)} = Phi([x_{(i)} - overline{x}]/s). Here, Phi is the
>> cumulative distribution function of the standard normal distribution,
>> and overline{x} and s are mean and standard deviation of the data
>> values. The p-value is computed from the modified statistic
>>
>> Z=A^2 (1.0 + 0.75/n +2.25/n^{2})
>>
>> according to Table 4.9 in Stephens (1986).
>
> Here are the critical values I found elsewhere on the net.
>
> 90% 0.631
> 95% 0.752
> 97.5% 0.873
> 99% 1.035
>
> For example, if A^2 > 0.752 you can say that your data set is not
> normally distributed with 95% confidence.
>
> This is implemented in octave-forge as 1-p =
> anderson_darling_test(x,'normal'). That is, if anderson_darling_test
> returns a value of 0.05 then you can say your data set is not normally
> distributed with 95% confidence.
>
> - Paul
>
> On Sep 25, 2005, at 1:59 PM, Søren Hauberg wrote:
>
>> Hi,
>> Does anybody know how I can test wether or not some samples are
>> normaly distributed? I tried graphical methods, such as looking at
>> histograms and qqplots, but I don't trust my own judgement enough to
>> use graphical methods.
>>
>> /Søren
>
>
>
>
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Re: Determining if samples are normal, Joe Koski, 2005/09/25
Re: Determining if samples are normal, Paul Kienzle, 2005/09/26
Re: Determining if samples are normal, Henry F. Mollet, 2005/09/27
Re: Determining if samples are normal, Mike Miller, 2005/09/27