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Posted to issues@commons.apache.org by "Kevin Childs (JIRA)" <ji...@apache.org> on 2010/05/13 21:50:42 UTC
[jira] Created: (MATH-371)
PearsonsCorrelation.getCorrelationPValues() precision limited by machine
epsilon
PearsonsCorrelation.getCorrelationPValues() precision limited by machine epsilon
--------------------------------------------------------------------------------
Key: MATH-371
URL: https://issues.apache.org/jira/browse/MATH-371
Project: Commons Math
Issue Type: Bug
Affects Versions: 2.0
Reporter: Kevin Childs
Similar to the issue described in MATH-201, using PearsonsCorrelation.getCorrelationPValues() with many treatments results in p-values that are continuous down to 2.2e-16 but that drop to 0 after that.
In MATH-201, the problem was described as such:
> So in essence, the p-value returned by TTestImpl.tTest() is:
>
> 1.0 - (cumulativeProbability(t) - cumulativeProbabily(-t))
>
> For large-ish t-statistics, cumulativeProbabilty(-t) can get quite small, and cumulativeProbabilty(t) can get very close to 1.0. When
> cumulativeProbability(-t) is less than the machine epsilon, we get p-values equal to zero because:
>
> 1.0 - 1.0 + 0.0 = 0.0
The solution in MATH-201 was to modify the p-value calculation to this:
> p = 2.0 * cumulativeProbability(-t)
Here, the problem is similar. From PearsonsCorrelation.getCorrelationPValues():
p = 2 * (1 - tDistribution.cumulativeProbability(t));
Directly calculating the p-value using identical code as PearsonsCorrelation.getCorrelationPValues(), but with the following change seems to solve the problem:
p = 2 * (tDistribution.cumulativeProbability(-t));
--
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[jira] Resolved: (MATH-371)
PearsonsCorrelation.getCorrelationPValues() precision limited by machine
epsilon
Posted by "Phil Steitz (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-371?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]
Phil Steitz resolved MATH-371.
------------------------------
Resolution: Fixed
Fixed in r944939. Thanks!
> PearsonsCorrelation.getCorrelationPValues() precision limited by machine epsilon
> --------------------------------------------------------------------------------
>
> Key: MATH-371
> URL: https://issues.apache.org/jira/browse/MATH-371
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 2.0
> Reporter: Kevin Childs
> Fix For: 2.1
>
>
> Similar to the issue described in MATH-201, using PearsonsCorrelation.getCorrelationPValues() with many treatments results in p-values that are continuous down to 2.2e-16 but that drop to 0 after that.
> In MATH-201, the problem was described as such:
> > So in essence, the p-value returned by TTestImpl.tTest() is:
> >
> > 1.0 - (cumulativeProbability(t) - cumulativeProbabily(-t))
> >
> > For large-ish t-statistics, cumulativeProbabilty(-t) can get quite small, and cumulativeProbabilty(t) can get very close to 1.0. When
> > cumulativeProbability(-t) is less than the machine epsilon, we get p-values equal to zero because:
> >
> > 1.0 - 1.0 + 0.0 = 0.0
> The solution in MATH-201 was to modify the p-value calculation to this:
> > p = 2.0 * cumulativeProbability(-t)
> Here, the problem is similar. From PearsonsCorrelation.getCorrelationPValues():
> p = 2 * (1 - tDistribution.cumulativeProbability(t));
> Directly calculating the p-value using identical code as PearsonsCorrelation.getCorrelationPValues(), but with the following change seems to solve the problem:
> p = 2 * (tDistribution.cumulativeProbability(-t));
--
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You can reply to this email to add a comment to the issue online.
[jira] Updated: (MATH-371)
PearsonsCorrelation.getCorrelationPValues() precision limited by machine
epsilon
Posted by "Phil Steitz (JIRA)" <ji...@apache.org>.
[ https://issues.apache.org/jira/browse/MATH-371?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]
Phil Steitz updated MATH-371:
-----------------------------
Fix Version/s: 2.1
Thanks for reporting this.
> PearsonsCorrelation.getCorrelationPValues() precision limited by machine epsilon
> --------------------------------------------------------------------------------
>
> Key: MATH-371
> URL: https://issues.apache.org/jira/browse/MATH-371
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 2.0
> Reporter: Kevin Childs
> Fix For: 2.1
>
>
> Similar to the issue described in MATH-201, using PearsonsCorrelation.getCorrelationPValues() with many treatments results in p-values that are continuous down to 2.2e-16 but that drop to 0 after that.
> In MATH-201, the problem was described as such:
> > So in essence, the p-value returned by TTestImpl.tTest() is:
> >
> > 1.0 - (cumulativeProbability(t) - cumulativeProbabily(-t))
> >
> > For large-ish t-statistics, cumulativeProbabilty(-t) can get quite small, and cumulativeProbabilty(t) can get very close to 1.0. When
> > cumulativeProbability(-t) is less than the machine epsilon, we get p-values equal to zero because:
> >
> > 1.0 - 1.0 + 0.0 = 0.0
> The solution in MATH-201 was to modify the p-value calculation to this:
> > p = 2.0 * cumulativeProbability(-t)
> Here, the problem is similar. From PearsonsCorrelation.getCorrelationPValues():
> p = 2 * (1 - tDistribution.cumulativeProbability(t));
> Directly calculating the p-value using identical code as PearsonsCorrelation.getCorrelationPValues(), but with the following change seems to solve the problem:
> p = 2 * (tDistribution.cumulativeProbability(-t));
--
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You can reply to this email to add a comment to the issue online.