ms_stat {dragonking} | R Documentation |
ms_stat
calculates the MS test statistic to determine whether
there is significant support for the existence of r
DKs in
vals
. This statistic is less susceptible to swamping, but is also
less powerful in the case of clustered outliers, in comparison to the SS
and SRS test statistics.
ms_stat(vals, r)
vals |
numeric vector with at least 3 elements |
r |
integer indicating number of DKs in |
MS test statistic
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>
Hawkins DM (1980). Identification of outliers, vol. 11. Chapman and Hall. ISBN: 9789401539944
Kimber AC (1982). Tests for many outliers in an exponential sample. Appl Statist, 31(3): 263-71. <doi:10.2307/2348000>
# generate a numeric vector with DKs
temp <- c(rexp(100), # exponentially distributed RV
15, 15, 15) # DK elements
# calculate test statistic for DKs
ms_stat(temp, r = 3)