NAG Library Routine Document
g08baf (test_mooddavid)
1
Purpose
g08baf performs Mood's and David's tests for dispersion differences between two independent samples of possibly unequal size.
2
Specification
Fortran Interface
Integer, Intent (In)  ::  n, n1, itest  Integer, Intent (Inout)  ::  ifail  Real (Kind=nag_wp), Intent (In)  ::  x(n)  Real (Kind=nag_wp), Intent (Out)  ::  r(n), w, v, pw, pv 

C Header Interface
#include <nagmk26.h>
void 
g08baf_ (const double x[], const Integer *n, const Integer *n1, double r[], const Integer *itest, double *w, double *v, double *pw, double *pv, Integer *ifail) 

3
Description
Mood's and David's tests investigate the difference between the dispersions of two independent samples of sizes
${n}_{1}$ and
${n}_{2}$, denoted by
and
The hypothesis under test,
${H}_{0}$, often called the null hypothesis, is that the dispersion difference is zero, and this is to be tested against a one or twosided alternative hypothesis
${H}_{1}$ (see below).
Both tests are based on the rankings of the sample members within the pooled sample formed by combining both samples. If there is some difference in dispersion, more of the extreme ranks will tend to be found in one sample than in the other.
Let the rank of
${x}_{\mathit{i}}$ be denoted by
${r}_{\mathit{i}}$, for
$\mathit{i}=1,2,\dots ,n$.
(a) 
Mood's test.
The test statistic $W={\displaystyle \sum _{i=1}^{{n}_{1}}}{\left({r}_{i}\frac{n+1}{2}\right)}^{2}$ is found.
$W$ is the sum of squared deviations from the average rank in the pooled sample. For large $n$, $W$ approaches normality, and so an approximation, ${p}_{w}$, to the probability of observing $W$ not greater than the computed value, may be found.
g08baf returns $W$ and ${p}_{w}$ if Mood's test is selected. 
(b) 
David's test.
The disadvantage of Mood's test is that it assumes that the means of the two samples are equal. If this assumption is unjustified a high value of $W$ could merely reflect the difference in means. David's test reduces this effect by using the variance of the ranks of the first sample about their mean rank, rather than the overall mean rank.
The test statistic for David's test is
where
For large $n$, $V$ approaches normality, enabling an approximate probability ${p}_{v}$ to be computed, similarly to ${p}_{w}$.
g08baf returns $V$ and ${p}_{v}$ if David's test is selected. 
Suppose that a significance test of a chosen size $\alpha $ is to be performed (i.e., $\alpha $ is the probability of rejecting ${H}_{0}$ when ${H}_{0}$ is true; typically $\alpha $ is a small quantity such as $0.05$ or $0.01$).
The returned value
$p$ (
$={p}_{v}$ or
${p}_{w}$) can be used to perform a significance test, against various alternative hypotheses
${H}_{1}$, as follows.
(i) 
${H}_{1}$: dispersions are unequal. ${H}_{0}$ is rejected if $2\times \mathrm{min}\phantom{\rule{0.125em}{0ex}}\left(p,1p\right)<\alpha $. 
(ii) 
${H}_{1}$: dispersion of sample $1>\text{}$ dispersion of sample $2$. ${H}_{0}$ is rejected if $1p<\alpha $. 
(iii) 
${H}_{1}$: dispersion of sample $2>\text{}$ dispersion of sample $1$. ${H}_{0}$ is rejected if $p<\alpha $. 
4
References
Cooper B E (1975) Statistics for Experimentalists Pergamon Press
5
Arguments
 1: $\mathbf{x}\left({\mathbf{n}}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: the first
${n}_{1}$ elements of
x must be set to the data values in the first sample, and the next
${n}_{2}$ (
$\text{}={\mathbf{n}}{n}_{1}$) elements to the data values in the second sample.
 2: $\mathbf{n}$ – IntegerInput

On entry: the total of the two sample sizes, $n$ ($\text{}={n}_{1}+{n}_{2}$).
Constraint:
${\mathbf{n}}>2$.
 3: $\mathbf{n1}$ – IntegerInput

On entry: the size of the first sample, ${n}_{1}$.
Constraint:
$1<{\mathbf{n1}}<{\mathbf{n}}$.
 4: $\mathbf{r}\left({\mathbf{n}}\right)$ – Real (Kind=nag_wp) arrayOutput

On exit: the ranks
${r}_{\mathit{i}}$, assigned to the data values ${x}_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,n$.
 5: $\mathbf{itest}$ – IntegerInput

On entry: the test(s) to be carried out.
 ${\mathbf{itest}}=0$
 Both Mood's and David's tests.
 ${\mathbf{itest}}=1$
 David's test only.
 ${\mathbf{itest}}=2$
 Mood's test only.
Constraint:
${\mathbf{itest}}=0$, $1$ or $2$.
 6: $\mathbf{w}$ – Real (Kind=nag_wp)Output

On exit: Mood's test statistic, $W$, if requested.
 7: $\mathbf{v}$ – Real (Kind=nag_wp)Output

On exit: David's test statistic, $V$, if requested.
 8: $\mathbf{pw}$ – Real (Kind=nag_wp)Output

On exit: the lower tail probability, ${p}_{w}$, corresponding to the value of $W$, if Mood's test was requested.
 9: $\mathbf{pv}$ – Real (Kind=nag_wp)Output

On exit: the lower tail probability, ${p}_{v}$, corresponding to the value of $V$, if David's test was requested.
 10: $\mathbf{ifail}$ – IntegerInput/Output

On entry:
ifail must be set to
$0$,
$1\text{or}1$. If you are unfamiliar with this argument you should refer to
Section 3.4 in How to Use the NAG Library and its Documentation for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value
$1\text{or}1$ is recommended. If the output of error messages is undesirable, then the value
$1$ is recommended. Otherwise, if you are not familiar with this argument, the recommended value is
$0$.
When the value $\mathbf{1}\text{or}\mathbf{1}$ is used it is essential to test the value of ifail on exit.
On exit:
${\mathbf{ifail}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see
Section 6).
6
Error Indicators and Warnings
If on entry
${\mathbf{ifail}}=0$ or
$1$, explanatory error messages are output on the current error message unit (as defined by
x04aaf).
Errors or warnings detected by the routine:
 ${\mathbf{ifail}}=1$

On entry, ${\mathbf{n}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{n}}>2$.
 ${\mathbf{ifail}}=2$

On entry, ${\mathbf{n1}}=\u2329\mathit{\text{value}}\u232a$ and ${\mathbf{n}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: $1<{\mathbf{n1}}<{\mathbf{n}}$.
 ${\mathbf{ifail}}=3$

On entry, ${\mathbf{itest}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{itest}}=0$, $1$ or $2$.
 ${\mathbf{ifail}}=99$
An unexpected error has been triggered by this routine. Please
contact
NAG.
See
Section 3.9 in How to Use the NAG Library and its Documentation for further information.
 ${\mathbf{ifail}}=399$
Your licence key may have expired or may not have been installed correctly.
See
Section 3.8 in How to Use the NAG Library and its Documentation for further information.
 ${\mathbf{ifail}}=999$
Dynamic memory allocation failed.
See
Section 3.7 in How to Use the NAG Library and its Documentation for further information.
7
Accuracy
All computations are believed to be stable. The statistics $V$ and $W$ should be accurate enough for all practical uses.
8
Parallelism and Performance
g08baf is not threaded in any implementation.
The time taken by g08baf is small, and increases with $n$.
10
Example
This example is taken from page 280 of
Cooper (1975). The data consists of two samples of six observations each. Both Mood's and David's test statistics and significances are computed. Note that Mood's statistic is inflated owing to the difference in location of the two samples, the median ranks differing by a factor of two.
10.1
Program Text
Program Text (g08bafe.f90)
10.2
Program Data
Program Data (g08bafe.d)
10.3
Program Results
Program Results (g08bafe.r)