[R] How to compute a P-value for a complex mixture of chi-squared distributions in R

[Rui Barradas]

Inline.

Em 01-06-2013 19:41, Rui Barradas escreveu:
> Hello,
>
> No, nothing wrong. (I feel silly for not having noticed it.) In fact not
> only it's much simpler but it's also more accurate than the use of
> accurate with the default rel.tol.

Correction: "...than the use of _integrate()_ with the default rel.tol."

Rui Barradas

> It should be better, however, to use lower.tail = FALSE, since the op
> wants p-values.
>
> 0.5 * pchisq(x^2, 1, lower.tail = FALSE) + 0.5 * pchisq(x^2, 2,
> lower.tail = FALSE)
>
> Rui Barradas
>
> Em 01-06-2013 14:57, peter dalgaard escreveu:
>>
>> On Jun 1, 2013, at 06:32 , Tiago V. Pereira wrote:
>>
>>> Hello, R users!
>>>
>>> I am struggling with the following problem:
>>>
>>> I need to compute a P-value for a mixture of two chi-squared
>>> distributions. My P-value is given by:
>>>
>>> P = 0.5*prob(sqrt(chi2(1)) <= x) + 0.5*prob(sqrt(chi2(2)) <= x)
>>>
>>> In words, I need to compute the p-value for 50–50 mixture of the square
>>> root of a chi-squared random variable with 1 degree of freedom and the
>>> square root of a chi-squared with two degrees of freedom.
>>>
>>> Although I can quickly simulate data, the P-values I am looking for
>>> are at
>>> the tail of the distribution, that is, alpha levels below 10^-7. Hence,
>>> simulation is not efficient.
>>>
>>> Are you aware of smart approach?
>>
>> Er,...
>>
>> Anything wrong with
>>
>> 0.5 * pchisq(x^2, 1) + 0.5 * pchisq(x^2, 2)
>>
>> ???
>>
>> -pd
>>
>>
>>>
>>>
>>> All the best,
>>>
>>> Tiago
>>>
>>> ______________________________________________
>>> R-help at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>> PLEASE do read the posting guide
>>> http://www.R-project.org/posting-guide.html
>>> and provide commented, minimal, self-contained, reproducible code.
>>
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.