fishersTestExceedance function

Fishers test to test whether the exceedance of the conditional quantiles is independent of the categorical variable E.

Used as a subroutine in InvariantConditionalQuantilePrediction

to test whether the exceedance of the conditional quantiles is independent of the categorical variable E.

fishersTestExceedance(Y, predicted, E, verbose)

Arguments

• Y: An n-dimensional vector.
• predicted: A matrix with n rows. The columns contain predictions for different conditional quantiles of Y|X.
• E: An n-dimensional vector. E needs to be a factor.
• verbose: Set to TRUE if output should be printed.

Returns

A list with the p-value for the test.