RUNTEST - Non-parametric independence test

[TomDoan]

This does a "run test" for an input series which shows two states (0 and 1). It tests whether the series appears to be sequentially independent versus the alternative that there are longer than expected runs of single states.

runtest.src

Procedure file

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@RunTest( options ) x start end

Options

[ESTIMATE]/NOESTIMATE indicates whether the prob(success) should be estimated or input
PI=input probability of 1 [.5] (used if NOESTIMATE)