Timothy Bates
2011-Aug-06 17:19 UTC
[R] significance of differences in skew and kurtosis between two groups
Dear R-users, I am comparing differences in variance, skew, and kurtosis between two groups. For variance the comparison is easy: just var.test(group1, group2) I am using agostino.test() for skew, and anscombe.test() for kurtosis. However, I can't find an equivalent of the F.test or Mood.test for comparing kurtosis or skewness between two samples. Would the test just be a 1 df test on the difference in Z or F scores returned by the agostino or anscombe? How are the differences distributed: chi2? Any guidance greatly appreciated. google and wikipedia return hits for measuring the third and fourth standardized moments, but none I can see for comparing differences on these parameters. best, tim
David Winsemius
2011-Aug-07 18:05 UTC
[R] significance of differences in skew and kurtosis between two groups
On Aug 6, 2011, at 1:19 PM, Timothy Bates wrote:> Dear R-users, > I am comparing differences in variance, skew, and kurtosis between > two groups. > > For variance the comparison is easy: just > > var.test(group1, group2) > > I am using agostino.test() for skew, and anscombe.test() for > kurtosis. However, I can't find an equivalent of the F.test or > Mood.test for comparing kurtosis or skewness between two samples.What are you planning on doing with these "moment-ous" tests? Most questions to this list about "how to test for normality" are based on false probabilistic premises promulgated by pendantic poseurs. (Not that I am above pendantry, myself.)> > Would the test just be a 1 df test on the difference in Z or F > scores returned by the agostino or anscombe? How are the differences > distributed: chi2? > > Any guidance greatly appreciated.It shouldn't be too difficult to construct a normal theory test using the distributional results for third and fourth sample moments at the Wikipedia Page for D'Agostino's test: http://en.wikipedia.org/wiki/D%27Agostino%27s_K-squared_test A statistic could be formed for two sample values with expected difference of zero and equal variances that depend on sample size : (k1 - k2)/sqrt(var1 +var2) Or you could use the distributional results offered in: Looney, S. W. (1995). How to use tests for univariate nor- mality to assess multivariate normality. American Statis- tician, 49, 64-70. -- David.> > google and wikipedia return hits for measuring the third and fourth > standardized moments, but none I can see for comparing differences > on these parameters. > > best, tim > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.David Winsemius, MD West Hartford, CT
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