NAG Library Routine Document
G08ECF performs the triplets test on a sequence of observations from the interval .
|SUBROUTINE G08ECF (
||CL, N, X, MSIZE, NCOUNT, LDC, EX, CHI, DF, PROB, IFAIL)
||N, MSIZE, NCOUNT(LDC,LDC,MSIZE), LDC, IFAIL
||X(N), EX, CHI, DF, PROB
G08ECF computes the statistics for performing a triplets test which may be used to investigate deviations from randomness in a sequence, , of observations.
, of counts is formed as follows. The element
is the number of triplets
, such that
Note that all triplets formed are non-overlapping and are thus independent under the assumption of randomness.
Under the assumption that the sequence is random, the expected number of triplets for each class (i.e., each element of the count matrix) is the same; that is, the triplets should be uniformly distributed over the unit cube . Thus the expected number of triplets for each class is just the total number of triplets, , divided by the number of classes, .
test statistic used to test the hypothesis of randomness is defined as
expected number of triplets in each class.
The use of the -distribution as an approximation to the exact distribution of the test statistic, , improves as the length of the sequence relative to increases and hence the expected value, , increases.
G08ECF may be used in two different modes:
||a single call to G08ECF which computes all test statistics after counting the triplets;
||multiple calls to G08ECF with the final test statistics only being computed in the last call.
The second mode is necessary if all the data do not fit into the memory. See parameter CL
in Section 5
for details on how to invoke each mode.
Dagpunar J (1988) Principles of Random Variate Generation Oxford University Press
Knuth D E (1981) The Art of Computer Programming (Volume 2) (2nd Edition) Addison–Wesley
Morgan B J T (1984) Elements of Simulation Chapman and Hall
Ripley B D (1987) Stochastic Simulation Wiley
- 1: CL – CHARACTER(1)Input
: indicates the type of call to G08ECF.
- This is the one and only call to G08ECF (single call mode). All data are to be input at once. All test statistics are computed after counting of the triplets is complete.
- This is the first call to the routine. All initializations are carried out and the counting of triplets begins. The final test statistics are not computed since further calls will be made to G08ECF.
- This is an intermediate call during which counts of the triplets are updated. The final test statistics are not computed since further calls will be made to G08ECF.
- This is the last call to G08ECF. The test statistics are computed after the final counting of the triplets is complete.
, , or .
- 2: N – INTEGERInput
On entry: , the number of observations.
- if , ;
- otherwise .
- 3: X(N) – REAL (KIND=nag_wp) arrayInput
On entry: the sequence of observations.
, for .
- 4: MSIZE – INTEGERInput
, the size of the count matrix to be formed.
must not be changed between calls to G08ECF.
- 5: NCOUNT(LDC,LDC,MSIZE) – INTEGER arrayInput/Output
need not be set.
must contain the values returned by the previous call to G08ECF.
: is an MSIZE
matrix containing the counts of the number of triplets,
- 6: LDC – INTEGERInput
: the first dimension of the array NCOUNT
and the second dimension of the array NCOUNT
as declared in the (sub)program from which G08ECF is called.
- 7: EX – REAL (KIND=nag_wp)Output
(i.e., if it is a final exit) then EX
contains the expected number of counts for each element of the count matrix.
- 8: CHI – REAL (KIND=nag_wp)Output
(i.e., if it is a final exit) then CHI
, for testing the null hypothesis of randomness.
is not set.
- 9: DF – REAL (KIND=nag_wp)Output
(i.e., if it is a final exit) then DF
contains the degrees of freedom for the
- 10: PROB – REAL (KIND=nag_wp)Output
(i.e., if it is a final exit) then PROB
contains the upper tail probability associated with the
test statistic, i.e., the significance level.
is not set.
- 11: IFAIL – INTEGERInput/Output
must be set to
. If you are unfamiliar with this parameter you should refer to Section 3.3
in the Essential Introduction for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value
is recommended. If the output of error messages is undesirable, then the value
is recommended. Otherwise, because for this routine the values of the output parameters may be useful even if
on exit, the recommended value is
. When the value is used it is essential to test the value of IFAIL on exit.
unless the routine detects an error or a warning has been flagged (see Section 6
6 Error Indicators and Warnings
If on entry
, explanatory error messages are output on the current error message unit (as defined by X04AAF
Note: G08ECF may return useful information for one or more of the following detected errors or warnings.
Errors or warnings detected by the routine:
|On entry,||, , or .|
|or|| and .|
|or||, for some .|
No triplets were found because less than observations were provided in total.
The expected value for the counts in each element of the count matrix is less than or equal to . This implies that the -distribution may not be a very good approximation to the distribution of the test statistic.
The computations are believed to be stable. The computations of PROB
given the values of CHI
will obtain a relative accuracy of five significant figures for most cases.
If the call to G08ECF is an initial call or intermediate call with further calls to follow then any unused observations are saved for use at the beginning of the new sequence provided in the following call. Clearly any observations left over from an only or final call to G08ECF are ignored.
The time taken by the routine increases with the number of observations , and also depends to some extent whether the call to G08ECF is an only, first, intermediate or last call.
The following program performs the triplets test on pseudorandom numbers. G08ECF is called times with observations on each call. The triplets are tallied into a by by matrix.
9.1 Program Text
Program Text (g08ecfe.f90)
9.2 Program Data
Program Data (g08ecfe.d)
9.3 Program Results
Program Results (g08ecfe.r)