allwrigh at maths.ox.ac.uk
2010-Jan-05 12:25 UTC
[Rd] apparently incorrect p-values from 2-sided Kolmogorov-Smirnov (PR#14178)
Dear Thomas, Thank you, yes, that sounds good, and I take the point about integer overflow. Various questions: (a) Is there some way I can try out the routine with this modification? (I am on a Linux system where I am just a user - I cannot install new versions of software myself) ? (b) Is there a reference you can give me to a published paper where the method being used to compute the p-values is described? Many thanks, David. ------------------------------------------------------------------------------ On Fri, 18 Dec 2009, tlumley at u.washington.edu wrote:> > > I've fixed this by adding 0.5/mn to q. The problem (at least in principle) > with multiplying them all up is integer overflow. > > By the time 0.5/mn underflows to zero, missing one value in the distribution > won't matter. > > -thomas > > > On Fri, 18 Dec 2009, David John Allwright wrote: > >> Dear Thomas, Right, thank you. Yes, I haven't looked at the source code >> (because I don't know C) but something like what you mention could well >> cause the kind of problems I am seeing: a loop being exectued one too few >> or one too many times. And yes, I think those quantities should be >> multiplied up by m*n to all become integers so we escape rounding error >> problems. David. >> >> ------------------------------------------------------------------------------ >> On Wed, 16 Dec 2009, tlumley at u.washington.edu wrote: >> >>> On Tue, 15 Dec 2009, allwrigh at maths.ox.ac.uk wrote; (in part) >>> >>>> >>>> x<-1:5 >>>> y<-c(2.5,4.5) >>>> ks.test(x,y) >>>> >>>> The value of the D_2,5 statistic is calculated as 0.4 correctly, but the >>>> p-value is stated by R as 1, though in fact it should be 20/21=0.9524 >>> >>> >>> What we seem to have here is a rounding error problem. >>> >>> In ks.c:psmirnov2x, there is a double loop including >>> if(fabs(i / md - j / nd) > q) >>> u[j] = 0; >>> >>> where md=2, nd=5, and q=3/10. >>> >>> Now, to full precision abs(1/2 - 4/5) > 3/10 is false, but at least on >>> my MacBook it is true in C double precision. >>> >>> I'm not sure why the loop is working with doubles, since multiplying by >>> m*n should make everything an integer. >>> >>> -thomas >>> >>> Thomas Lumley Assoc. Professor, Biostatistics >>> tlumley at u.washington.edu University of Washington, Seattle >>> >>> >>> >> > > Thomas Lumley Assoc. Professor, Biostatistics > tlumley at u.washington.edu University of Washington, Seattle > > >
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