dixon_stat {dragonking}

Dixon test statistic to identify dragon kings (DKs)

Description

dixon_stat calculates the DIxon test statistic to determine whether there is significant support for the existence of r DKs in vals. This test is less susceptible to swamping and masking, but is also less powerful than the SS and SRS test statistics.

Usage

dixon_stat(vals, r)

Arguments

vals

numeric vector with at least 3 elements

r

integer indicating number of DKs in vals

Value

Dixon test statistic

References

Wheatley S, Sornette D (2015). Multiple outlier detection in samples with exponential & pareto tails: Redeeming the inward approach & detecting dragon kings. Swiss Finance Institute Research Paper Series No. 15-28. <doi:10.2139/ssrn.2645709>

Dixon WJ (1950). Analysis of extreme values. Ann Math Stat, 21(4): 488-506. <doi:10.1214/aoms/1177729747>

Likes J (1967). Distribution of Dixon's statistics in the case of an exponential population. Metrika, 11(1): 46-54. <doi:10.1007/bf02613574>

Examples

# generate a numeric vector with DKs
temp <- c(rexp(100),   # exponentially distributed RV
          15, 15, 15)  # DK elements

# calculate test statistic for DKs
dixon_stat(temp, r = 3)