[Rd] (PR#13999) Extreme values of non-central chisq (was Accuracy)
Prof Brian Ripley
ripley at stats.ox.ac.uk
Sun Nov 15 20:43:04 CET 2009
You crossed the value ncp = 80: the help page warned you of
cancellation there, and at p = 1 - 1e-12, that is what you got
(badly).
On Sun, 11 Oct 2009, witkovsky at savba.sk wrote:
> Full_Name: Viktor Witkovsky
> Version: 2.9.2
> OS: Windows XP
> Submission from: (NULL) (78.98.89.227)
>
>
> Hello,
>
> I have found strange behavior of the function qchisq (the non-central qchisq is
> based on inversion of pchisq, which is further based on pgamma). The function
> gives wrong results without any warning. For example:
>
> qchisq(1e-12,1,8.94^2,lower.tail=FALSE) gives 255.1840972465858 (notice that
> here the correct value should be 255.1841334848075),
> but
> qchisq(1e-12,1,8.95^2,lower.tail=FALSE) gives 1249.681320136836
> Here, the correct value should be 255.5037231613135.
>
> So, it seems that qchisq is inaccurate for small probability values and larger
> non/centrality parameter.
Actually, for probability values near 1, and it does say so in the
documentation. But see
> qchisq(1e-12, 1, 81, lower.tail=FALSE)
[1] 1258.412
> qchisq(1-1e-12, 1, 81)
[1] 257.1488
which I suggest gives you a workaround -- we'll look into giving a
warning from the code.
>
> I am using the precompiled binary version of R, under Windows XP.
>
> _
> platform i386-pc-mingw32
> arch i386
> os mingw32
> system i386, mingw32
> status
> major 2
> minor 9.2
> year 2009
> month 08
> day 24
> svn rev 49384
> language R
> version.string R version 2.9.2 (2009-08-24)
>
> ______________________________________________
> R-devel at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-devel
>
--
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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