The original question is attached at the end of this message ...
In the world of R the excellent mvtnorm package answers my original
question and many more that I didn't know I needed to ask.
In the world of Splus ( version 6 , Windows XP ) this link :-
http://www.biostat.wustl.edu/archives/html/s-news/2002-11/msg00079.html
which was provided by Dimitris Rizopoulos, is useful.
Sadly in Splus there seems to be no library equivalent to the R mvtnorm
package...
... unless someone out there has ported it, or has something similar up
their sleeve ??
cheers Bob
----- Forwarded by Robert Kinley/EMA/LLY on 28/09/2005 17:35 -----
Robert Kinley <KINLEY_ROBERT@lilly.com>
Sent by: r-help-bounces@stat.math.ethz.ch
14/09/2005 14:24
To
s-news@lists.biostat.wustl.edu, r-help@stat.math.ethz.ch
cc
Subject
[R] non-central t : R v.Splus
Hi
For bureaucratic reasons beyond my control I need to rewrite an R function
(for producing operating characteristic curves) as an Splus function (
version 6 , windows XP ).
The R function makes extensive use of the fact that the student's t
distribution function pt() has a non-centrality parameter built in ...
sadly that parameter is not present in the Splus pt() function .
However, the Splus f distribution function pf() does have such a parameter
, so I have tried to write my own non-central version of pt() based around
pf() , using the relationship between the t and F distributions.
Unfortunately my success has been limited ... I can only get correct
probabilities for part of the range of the quantile space , failing when
the quantile becomes small ... and I'm beginning to wonder whether it's
actually possible to do what I want at all , given that the range of x in
F(x) is [ 0:Inf ] while that in t(x) is [-Inf , Inf ] , and the
non-central t distribution is not symmetric ...
Do any wiser heads than mine have any experience or advice to offer ...
?
thanks Bob Kinley
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