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));
--
This message is automatically generated by JIRA.
-
You can reply to this email to add a comment to the issue online.
