srs_stat {dragonking}

Sum-robust-sum (SRS) test statistic to identify dragon kings (DKs)

Description

srs_stat calculates the SRS test statistic to determine whether there is significant support for the existence of r DKs in vals. This test provides robustness to denominator masking.

Usage

srs_stat(vals, r, m)

Arguments

vals

numeric vector with at least 3 elements

r

integer indicating number of DKs in vals

m

pre-specified maximum number of DKs in vals

Value

SRS 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>

Iglewicz B, Martinez J (1982). Outlier detection using robust measures of scale. J Stat Comput Simul, 15(4): 285-93. <doi:10.1080/00949658208810595>

Examples

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

# calculate test statistic for DKs
srs_stat(temp, r = 2, m = 3)