On Wed, 17 Aug 2005, Greg Hather wrote:
> I'm having trouble with the wilcox.test command in R.
Are you sure it is not the concepts that are giving 'trouble'?
What real problem are you trying to solve here?
> To demonstrate the anomalous behavior of wilcox.test, consider
>
>> wilcox.test(c(1.5,5.5), c(1:10000), exact = F)$p.value
> [1] 0.01438390
>> wilcox.test(c(1.5,5.5), c(1:10000), exact = T)$p.value
> [1] 6.39808e-07 (this calculation takes noticeably longer).
>> wilcox.test(c(1.5,5.5), c(1:20000), exact = T)$p.value
> (R closes/crashes)
>
> I believe that wilcox.test(c(1.5,5.5), c(1:10000), exact = F)$p.value
> yields a bad result because of the normal approximation which R uses
> when exact = F.
Expecting an approximation to be good in the tail for m=2 is pretty
unrealistic. But then so is believing the null hypothesis of a common
*continuous* distribution. Why worry about the distribution under a
hypothesis that is patently false?
People often refer to this class of tests as `distribution-free', but they
are not. The Wilcoxon test is designed for power against shift
alternatives, but here there appears to be a very large difference in
spread. So
> wilcox.test(5000+c(1.5,5.5), c(1:10000), exact = T)$p.value
[1] 0.9989005
even though the two samples differ in important ways.
> Any suggestions for how to compute
> wilcox.test(c(1.5,5.5), c(1:20000), exact = T)$p.value?
I get (current R 2.1.1 on Linux)
> wilcox.test(c(1.5,5.5), c(1:20000), exact = T)$p.value
[1] 1.59976e-07
and no crash. So the suggestion is to use a machine adequate to the task,
and that probably means an OS with adequate stack size.
> [[alternative HTML version deleted]]
> PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
Please do heed it. What version of R and what machine is this? And do
take note of the request about HTML mail.
--
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595