Graphical test for discrete uniformity and its applications in goodness-of-fit evaluation and multiple sample comparison
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Publication:2128076
Abstract: Assessing goodness of fit to a given distribution plays an important role in computational statistics. The Probability integral transformation (PIT) can be used to convert the question of whether a given sample originates from a reference distribution into a problem of testing for uniformity. We present new simulation and optimization based methods to obtain simultaneous confidence bands for the whole empirical cumulative distribution function (ECDF) of the PIT values under the assumption of uniformity. Simultaneous confidence bands correspond to such confidence intervals at each point that jointly satisfy a desired coverage. These methods can also be applied in cases where the reference distribution is represented only by a finite sample. The confidence bands provide an intuitive ECDF-based graphical test for uniformity, which also provides useful information on the quality of the discrepancy. We further extend the simulation and optimization methods to determine simultaneous confidence bands for testing whether multiple samples come from the same underlying distribution. This multiple sample comparison test is especially useful in Markov chain Monte Carlo convergence diagnostics. We provide numerical experiments to assess the properties of the tests using both simulated and real world data and give recommendations on their practical application in computational statistics workflows.
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Cited in
(10)- Testing multivariate uniformity based on random geometric graphs
- Graph-based test for two-sample comparisons of categorical data
- Intuitive joint priors for Bayesian linear multilevel models: the R2D2M2 prior
- Some models are useful, but how do we know which ones? Towards a unified Bayesian model taxonomy
- Detecting and diagnosing prior and likelihood sensitivity with power-scaling
- Posterior SBC: simulation-based calibration checking conditional on data
- Simulation-based calibration checking for Bayesian computation: the choice of test quantities shapes sensitivity
- Uncertainty quantification and propagation in surrogate-based Bayesian inference
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