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  1. Commons Math
  2. MATH-371

PearsonsCorrelation.getCorrelationPValues() precision limited by machine epsilon

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    • Type: Bug
    • Status: Closed
    • Priority: Major
    • Resolution: Fixed
    • Affects Version/s: 2.0
    • Fix Version/s: 2.1
    • Labels:
      None

      Description

      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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            • Assignee:
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              Reporter:
              kchilds Kevin Childs
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