Variations on goodness of fit tests for SciPy.

## Project description

Provides variants of Kolmogorov-Smirnov, Cramer-von Mises and Anderson-Darling goodness of fit tests for fully specified continuous distributions.

## Example

>>> from scipy.stats import norm, uniform >>> from skgof import ks_test, cvm_test, ad_test >>> ks_test((1, 2, 3), uniform(0, 4)) GofResult(statistic=0.25, pvalue=0.97...) >>> cvm_test((1, 2, 3), uniform(0, 4)) GofResult(statistic=0.04..., pvalue=0.95...) >>> data = norm(0, 1).rvs(random_state=1, size=100) >>> ad_test(data, norm(0, 1)) GofResult(statistic=0.75..., pvalue=0.51...) >>> ad_test(data, norm(.3, 1)) GofResult(statistic=3.52..., pvalue=0.01...)

## Simple tests

Scikit-gof currently only offers three nonparametric tests that let you compare a sample with a reference probability distribution. These are:

`ks_test()`- Kolmogorov-Smirnov supremum statistic; almost the same as
`scipy.stats.kstest()`with`alternative='two-sided'`but with (hopefully) somewhat more precise p-value calculation; `cvm_test()`- Cramer-von Mises L2 statistic, with a rather crude estimation of the statistic distribution (but seemingly the best available);
`ad_test()`- Anderson-Darling statistic with a fair approximation of its distribution;
unlike the composite
`scipy.stats.anderson()`this one needs a fully specified hypothesized distribution.

Simple test functions use a common interface, taking as the first argument the
data (sample) to be compared and as the second argument a frozen `scipy.stats`
distribution.
They return a named tuple with two fields: `statistic` and `pvalue`.

For a simple example consider the hypothesis that the sample (.4, .1, .7) comes from the uniform distribution on [0, 1]:

if ks_test((.4, .1, .7), unif(0, 1)).pvalue < .05: print("Hypothesis rejected with 5% significance.")

If your samples are very large and you have them sorted ahead of time, pass
`assume_sorted=True` to save some time that would be wasted resorting.

## Extending

Simple tests are composed of two phases: calculating the test statistic and determining how likely is the resulting value (under the hypothesis). New tests may be defined by providing a new statistic calculation routine or an alternative distribution for a statistic.

Functions calculating statistics are given evaluations of the reference cumulative distribution function on sorted data and are expected to return a single number. For a simple test, if the sample indeed comes from the hypothesized (continuous) distribution, the values passed to the function should be uniformly distributed over [0, 1].

Here is a simplistic example of how a statistic function might look like:

def ex_stat(data): return abs(data.sum() - data.size / 2)

Statistic functions for the provided tests, `ks_stat()`, `cvm_stat()`,
and `ad_stat()`, can be imported from `skgof.ecdfgof`.

Statistic distributions should derive from `rv_continuous` and implement
at least one of the abstract `_cdf()` or `_pdf()` methods (you might
also consider directly coding `_sf()` for increased precision of results
close to 1). For example:

from numpy import sqrt from scipy.stats import norm, rv_continuous class ex_unif_gen(rv_continuous): def _cdf(self, statistic, samples): return 1 - 2 * norm.cdf(-statistic, scale=sqrt(samples / 12)) ex_unif = ex_unif_gen(a=0, name='ex-unif', shapes='samples')

The provided distributions live in separate modules, respectively `ksdist`,
`cvmdist`, and `addist`.

Once you have a statistic calculation function and a statistic distribution the
two parts can be combined using `simple_test`:

from functools import partial from skgof.ecdfgof import simple_test ex_test = partial(simple_test, stat=ex_stat, pdist=ex_unif)

**Exercise**: The example test has a fundamental flaw. Can you point it out?

## Installation

pip install scikit-gof

Requires recent versions of Python (> 3), NumPy (>= 1.10) and SciPy.

Please fix or point out any errors, inaccuracies or typos you notice.

## Project details

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