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rho005
2011 Nov 23
2
How to increase precision to handle very low P-values
...are on the tail of the distribution,
P-values < 10^-20.
However, my current implementations enable one to estimate P-values up to
10^-12, or so.
A typical example is found below, where t is my critical value.
########### example - code adapted from Rassoc #######################
rho01 = 0.5
rho105 = 0.5
rho005 = 0.5
t = 8
z = 2
w0=(rho005-rho01*rho105)/(1-rho01^2)
w1=(rho105-rho01*rho005)/(1-rho01^2)
fun1=function(t,z){
return(pnorm((t-rho01*z)/sqrt(1-rho01^2))*dnorm(z))
}
fun2=function(t,z){
return(pnorm(((t-w0*z)/w1-rho01*z)/sqrt(1-rho01^2))*dnorm(z))
}
fun3=function(t,z){
r...