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.
翻译:在计算统计中,可以使用概率整体转换(PIT)来将某一样本是否由参考分布产生的问题转换成统一测试的问题。我们提出新的模拟和优化方法,以便在假设统一的情况下,为PIT数值的整个经验累积分布功能(ECDF)同时获得信任带。同时信任带与每个点的这种信任间隔相对应,共同满足理想的覆盖。这些方法也可以在参考分布仅由有限样本表示的情况下使用。信任带提供了基于ECDF的直观图形统一性测试,同时也提供了关于差异质量的有用信息。我们进一步扩展模拟和优化方法,以确定同时测试多个样本是否来自同一基本分布的同步信任带。这种多重样本比较测试在Markov链 Monte Carlo趋同诊断中特别有用。我们提供数字实验,以评估测试的特性,同时使用模拟数据和真实世界数据,并就其在计算统计工作流程中的实际应用提出建议。