[SciPy-User] runstest and distribution of run lengths

Skipper Seabold jsseabold@gmail....
Wed Dec 29 08:43:05 CST 2010


On Fri, Dec 24, 2010 at 5:19 PM,  <josef.pktd@gmail.com> wrote:
> Does anyone know the distribution of run lengths in a sequence of
> bernoulli trial?
>
> I thought, I can implement a runstest as a quick exercise, but I got
> (kind of) stuck.
>
> I implemented the Wald-Wolfowitz runs test (plus one and two sample
> versions) according to Wikipedia
> http://en.wikipedia.org/wiki/Wald%E2%80%93Wolfowitz_runs_test
> and the SAS manual. This test only looks at the total number of runs,
> and the SAS manual has both the exact distribution for small samples
> and the normal approximation for large sample. So, this went ok.
>
> But the runstest in the NIST manual and in dataplot, has the entire
> distribution of run lengths
> http://www.itl.nist.gov/div898/handbook/eda/section3/eda35d.htm
> They mention a book, Bradley, 1968,  that I don't have, but they don't
> say what the formulas and distribution for the expected values and
> standard deviation that they use are.
>
> Does anyone have an idea or knows a more easily accessible reference?
>

Only other one I've come across (via Stata)

Swed, F.S. and Eisenhart, C.  1943.  "Tables for testing randomness of
grouping in a sequence of alternatives."  The Annals of Mathematical
Statistics.  14.1, 66-87.

http://scholar.google.com/scholar?cluster=3689844222480893877&hl=en&as_sdt=20000

Skipper


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