Integer, Intent (In)	::	n, m, maxg
Integer, Intent (Inout)	::	ngaps, ncount(maxg), ifail
Real (Kind=nag_wp), Intent (In)	::	x(n), rlo, rup, totlen
Real (Kind=nag_wp), Intent (Out)	::	ex(maxg), chi, df, prob
Character (1), Intent (In)	::	cl

C Header Interface

#include <nag.h>

void	g08edf_ (const char cl, const Integer n, const double x[], const Integer m, const Integer maxg, const double rlo, const double rup, const double totlen, Integer ngaps, Integer ncount[], double ex[], double chi, double df, double prob, Integer ifail, const Charlen length_cl)

The routine may be called by the names g08edf or nagf_nonpar_randtest_gaps.

3 Description

Gaps tests are used to test for cyclical trend in a sequence of observations. g08edf computes certain statistics for the gaps test.

g08edf may be used in two different modes:

(i)a single call to g08edf which computes all test statistics after counting the gaps;
(ii)multiple calls to g08edf with the final test statistics only being computed in the last call.

The second mode is necessary if all the data does not fit into the memory. See argument cl in Section 5 for details on how to invoke each mode.

The term gap is used to describe the distance between two numbers in the sequence that lie in the interval

(r_{l}, r_{u})

. That is, a gap ends at

x_{j}

r_{l} \leq x_{j} \leq r_{u}

. The next gap then begins at

x_{j + 1}

. The interval

(r_{l}, r_{u})

should lie within the region of all possible numbers. For example if the test is carried out on a sequence of

(0, 1)

random numbers then the interval

(r_{l}, r_{u})

must be contained in the whole interval

(0, 1)

. Let

t_{len}

be the length of the interval which specifies all possible numbers.

g08edf counts the number of gaps of different lengths. Let

c_{i}

denote the number of gaps of length

i

, for

i = 1, 2, \dots, k - 1

. The number of gaps of length

k

or greater is then denoted by

c_{k}

. An unfinished gap at the end of a sequence is not counted unless the sequence is part of an initial or intermediate call to g08edf (i.e., unless there is another call to g08edf to follow) in which case the unfinished gap is used. The following is a trivial example.

Suppose we called g08edf twice (i.e., with

cl ='F'

and then with

cl ='L'

) with the following two sequences and with

rlo = 0.30

and

rup = 0.60

( $0.20$ $0.40$ $0.45$ $0.40$ $0.15$ $0.75$ $0.95$ $0.23$ ) and
( $0.27$ $0.40$ $0.25$ $0.10$ $0.34$ $0.39$ $0.61$ $0.12$ ).

Then after the second call g08edf would have counted the gaps of the following lengths:

$2$ , $1$ , $1$ , $6$ , $3$ and $1$ .

When the counting of gaps is complete g08edf computes the expected values of the counts. An approximate

χ^{2}

statistic with

k

degrees of freedom is computed where

X^{2} = \frac{\sum_{i = 1}^{k} {(c_{i} - e_{i})}^{2}}{e_{i}},

where

$e_{i} = ngaps \times p \times {(1 - p)}^{i - 1}$ , if $i < k$ ;
$e_{i} = ngaps \times {(1 - p)}^{i - 1}$ , if $i = k$ ;
$ngaps =$ the number of gaps found and
$p = (r_{u} - r_{l}) / t_{len}$ .

The use of the

χ^{2}

-distribution as an approximation to the exact distribution of the test statistic improves as the expected values increase.

You may specify the total number of gaps to be found. If the specified number of gaps is found before the end of a sequence g08edf will exit before counting any further gaps.

4 References

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

5 Arguments

1: $cl$ – Character(1) Input

On entry: indicates the type of call to g08edf.

$cl ='S'$: This is the one and only call to g08edf (single call mode). All data are to be input at once. All test statistics are computed after the counting of gaps is complete.
$cl ='F'$: This is the first call to the routine. All initializations are carried out before the counting of gaps begins. The final test statistics are not computed since further calls will be made to g08edf.
$cl ='I'$: This is an intermediate call during which the counts of gaps are updated. The final test statistics are not computed since further calls will be made to g08edf.
$cl ='L'$: This is the last call to g08edf. The test statistics are computed after the final counting of gaps is complete.

Constraint:

cl ='S'

'F'

'I'

'L'

2: $n$ – Integer Input

On entry:

n

, the length of the current sequence of observations.

Constraint:

n \geq 1

3: $x (n)$ – Real (Kind=nag_wp) array Input

On entry: the sequence of observations.

4: $m$ – Integer Input

On entry: the maximum number of gaps to be sought. If

m \leq 0

then there is no limit placed on the number of gaps that are found.

m should not be changed between calls to g08edf.

Constraint: if

cl ='S'

m \leq n

5: $maxg$ – Integer Input

On entry:

k

, the length of the longest gap for which tabulation is desired.

maxg must not be changed between calls to g08edf.

Constraints:

$maxg > 1$ ;
if $cl ='S'$ , $maxg \leq n$ .

6: $rlo$ – Real (Kind=nag_wp) Input

On entry: the lower limit of the interval to be used to define the gaps,

r_{l}

rlo must not be changed between calls to g08edf.

7: $rup$ – Real (Kind=nag_wp) Input

On entry: the upper limit of the interval to be used to define the gaps,

r_{u}

rup must not be changed between calls to g08edf.

Constraint:

rup > rlo

8: $totlen$ – Real (Kind=nag_wp) Input

On entry: the total length of the interval which contains all possible numbers that may arise in the sequence.

Constraint:

totlen > 0.0

and

rup - rlo < totlen

9: $ngaps$ – Integer Input/Output

On entry: if

cl ='S'

'F'

, ngaps need not be set.

cl ='I'

'L'

, ngaps must contain the value returned by the previous call to g08edf.

On exit: the number of gaps actually found,

ngaps

10: $ncount (maxg)$ – Integer array Input/Output

On entry: if

cl ='S'

'F'

, ncount need not be set.

cl ='I'

'L'

, ncount must contain the values returned by the previous call to g08edf.

On exit: the counts of gaps of the different lengths,

c_{i}

, for

i = 1, 2, \dots, k

11: $ex (maxg)$ – Real (Kind=nag_wp) array Output

On exit: if

cl ='S'

'L'

(i.e., if it is a final exit) then ex contains the expected values of the counts.

Otherwise the elements of ex are not set.

12: $chi$ – Real (Kind=nag_wp) Output

On exit: if

cl ='S'

'L'

(i.e., if it is a final exit) then chi contains the

χ^{2}

test statistic,

X^{2}

, for testing the null hypothesis of randomness.

Otherwise chi is not set.

13: $df$ – Real (Kind=nag_wp) Output

On exit: if

cl ='S'

'L'

(i.e., if it is a final exit) then df contains the degrees of freedom for the

χ^{2}

statistic.

Otherwise df is not set.

14: $prob$ – Real (Kind=nag_wp) Output

On exit: if

cl ='S'

'L'

(i.e., if it is a final exit) then prob contains the upper tail probability associated with the

χ^{2}

test statistic, i.e., the significance level.

Otherwise prob is not set.

15: $ifail$ – Integer Input/Output

On entry: ifail must be set to

0

−1

1

to set behaviour on detection of an error; these values have no effect when no error is detected.

A value of

0

causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of

−1

means that an error message is printed while a value of

1

means that it is not.

If halting is not appropriate, the value

−1

1

is recommended. If message printing is undesirable, then the value

1

is recommended. Otherwise, the value

−1

is recommended since useful values can be provided in some output arguments even when

ifail \neq 0

on exit. When the value $- 1$ or $1$ is used it is essential to test the value of ifail on exit.

On exit:

ifail = 0

unless the routine detects an error or a warning has been flagged (see Section 6).

6 Error Indicators and Warnings

If on entry

ifail = 0

−1

, explanatory error messages are output on the current error message unit (as defined by x04aaf).

Errors or warnings detected by the routine:

Note: in some cases g08edf may return useful information.

$ifail = 1$: On entry, $cl = ⟨ value ⟩$ .
Constraint: $cl ='S'$ , $'F'$ , $'I'$ or $'L'$ .

$ifail = 2$: On entry, $n = ⟨ value ⟩$ .
Constraint: $n \geq 1$ .

$ifail = 3$: On entry, $m = ⟨ value ⟩$ and $n = ⟨ value ⟩$ .
Constraint: if $cl ='S'$ , $m \leq n$ .

$ifail = 4$: On entry, $maxg = ⟨ value ⟩$ .
Constraint: $maxg > 1$ .

On entry, $maxg = ⟨ value ⟩$ and $n = ⟨ value ⟩$ .
Constraint: if $cl ='S'$ , $maxg \leq n$ .

$ifail = 5$: On entry, $rlo = ⟨ value ⟩$ , $rup = ⟨ value ⟩$ and $totlen = ⟨ value ⟩$ .
Constraint: $rup - rlo < totlen$ .

On entry, $rlo = ⟨ value ⟩$ and $rup = ⟨ value ⟩$ .
Constraint: $rup > rlo$ .

On entry, $totlen = ⟨ value ⟩$ .
Constraint: $totlen > 0.0$ .

$ifail = 6$: No gaps were found. Try using a longer sequence, or increase the size of the interval $rup - rlo$ .

$ifail = 7$: The expected frequency in class $i = ⟨ value ⟩$ is zero. The value of $(rup - rlo) / totlen$ may be too close to $0.0$ or $1.0$ . or maxg is too large relative to the number of gaps found.

$ifail = 8$: The number of gaps requested were not found, only $⟨ value ⟩$ out of the requested $⟨ value ⟩$ where found.
All statistics are returned and may still be of use.

$ifail = 9$: The expected frequency of at least one class is less than $1$ .
This implies that the $χ^{2}$ may not be a very good approximation to the distribution of the test statistics.
All statistics are returned and may still be of use.

$ifail = - 99$: An unexpected error has been triggered by this routine. Please contact NAG.
See Section 7 in the Introduction to the NAG Library FL Interface for further information.

$ifail = - 399$: Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.

$ifail = - 999$: Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.

7 Accuracy

The computations are believed to be stable. The computation of prob given the values of chi and df will obtain a relative accuracy of five significant places for most cases.

8 Parallelism and Performance

Background information to multithreading can be found in the Multithreading documentation.

g08edf is not thread safe and should not be called from a multithreaded user program. Please see Section 1 in FL Interface Multithreading for more information on thread safety.

g08edf is not threaded in any implementation.

9 Further Comments

The time taken by g08edf increases with the number of observations

n

, and depends to some extent whether the call is an only, first, intermediate or last call.

10 Example

The following program performs the gaps test on

500

pseudorandom numbers. g08edf is called

5

times with

100

observations on each call. All gaps of length

10

or more are counted together.

g08ed: FL CL CPP AD PY MB

NAG FL Interfaceg08edf (randtest_​gaps)

▸▿ Contents

1 Purpose

2 Specification

3 Description

4 References

5 Arguments

6 Error Indicators and Warnings

7 Accuracy

8 Parallelism and Performance

9 Further Comments

10 Example

10.1 Program Text

10.2 Program Data

10.3 Program Results

NAG FL Interface
g08edf (randtest_gaps)