Wilks¶

class
Wilks
(*args)¶ Class to evaluate the Wilks number.
Refer to Estimating a quantile by Wilks’ method.
 Parameters
 randomVector
RandomVector
of dimension 1 Output variable of interest.
 randomVector
Notes
This class is a static class which enables the evaluation of the Wilks number: the minimal sample size to perform in order to guarantee that the empirical quantile , noted evaluated with the maximum of the sample, noted be greater than the theoretical quantile with a probability at least :
where .
Methods
ComputeSampleSize
(quantileLevel, confidenceLevel)Evaluate the size of the sample.
computeQuantileBound
(quantileLevel, …[, …])Evaluate the bound of the quantile.

__init__
(*args)¶ Initialize self. See help(type(self)) for accurate signature.

static
ComputeSampleSize
(quantileLevel, confidenceLevel, marginIndex=0)¶ Evaluate the size of the sample.
 Parameters
 alphapositive float
The order of the quantile we want to evaluate.
 betapositive float
Confidence on the evaluation of the empirical quantile.
 iint
Rank of the maximum which will evaluate the empirical quantile. Default (maximum of the sample)
 Returns
 wint
the Wilks number.

computeQuantileBound
(quantileLevel, confidenceLevel, marginIndex=0)¶ Evaluate the bound of the quantile.
 Parameters
 alphapositive float
The order of the quantile we want to evaluate.
 betapositive float
Confidence on the evaluation of the empirical quantile.
 iint
Rank of the maximum which will evaluate the empirical quantile. Default (maximum of the sample)
 Returns
 q
Point
The estimate of the quantile upper bound for the given quantile level, at the given confidence level and using the given upper statistics.
 q