6.10.3. statsmodels.sandbox.tools.mctools

Helper class for Monte Carlo Studies for (currently) statistical tests

Most of it should also be usable for Bootstrap, and for MC for estimators. Takes the sample generator, dgb, and the statistical results, statistic, as functions in the argument.

Author: Josef Perktold (josef-pktd) License: BSD-3

6.10.3.1. TODOs, Design

If we only care about univariate analysis, i.e. marginal if statistics returns more than one value, the we only need to store the sorted mcres not the original res. Do we want to extend to multivariate analysis?

Use distribution function to keep track of MC results, ECDF, non-paramatric? Large parts are similar to a 2d array of independent multivariate random variables. Joint distribution is not used (yet).

I guess this is currently only for one sided test statistics, e.g. for two-sided tests basend on t or normal distribution use the absolute value.

6.10.3.2. Classes

SimpleTable(data[, headers, stubs, title, ...])	Produce a simple ASCII, CSV, HTML, or LaTeX table from a rectangular (2d!) array of data, not necessarily numerical.
StatTestMC(dgp, statistic)	class to run Monte Carlo study on a statistical test’‘’