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From Phil Steitz <phil.ste...@gmail.com>
Subject Re: Komogorov distribution WASF Re: [jira] Commented: (MATH-431) New tests: Wilcoxon signed-rank test and Mann-Whitney U
Date Sun, 07 Nov 2010 15:27:36 GMT
On 11/7/10 10:10 AM, Mikkel Meyer Andersen wrote:
> 2010/11/7 Phil Steitz<phil.steitz@gmail.com>:
>> Switching to the right list...
>>
>> -
>>>>>
>>>>> What we need there is a good algorithm for approximating the KS
>>>>> distribution.  I have been corresponding with the author of a very good
>>>>> one
>>>>> with a Java implementation but have thus far failed in getting consent
>>>>> to
>>>>> release under ASL.  So at this point, I am looking for an alternative
>>>>> good
>>>>> algorithm to implement.  All suggestions / unencumbered patches welcome!
>>>>>
>>>>> See comments on the MATH-431 for other questions.
>>>>>
>>>> Just to be sure of what you mean:
>>>> Do you want to have a two-sample Kolmogorov-Smirnov test for equality
>>>> of distributions in addition to the Mann-Whitney? Or do you need the
>>>> Kolmogorov-Smirnov distribution (as stated for example at
>>>>
>>>>
>>>> http://en.wikipedia.org/wiki/Kolmogorov%E2%80%93Smirnov_test#Kolmogorov_distribution
>>>> ) in regards to the MATH-428? Sorry, but I'm at bit confused :-).
>>>
>>> The goal is to implement the KS test for equality of distributions (or
>>> homogeneity against a reference distribution).  To do that we need at
>>> least
>>> critical values of the Kolmogorov distribution.  The natural way for us to
>>> do that would be to implement the full distribution which would be nice to
>>> have in the distributions package.
>>>
>>> Phil
>>
>> Have you read "Evaluating Kolmogorov’s Distribution" by Marsaglia et
>> al. available on http://www.jstatsoft.org/v08/i18/paper ? And do you
>> think their approach would be the way to go?
>>
>> I am not sure it is best.  See the comments here:
>> http://www.iro.umontreal.ca/~lecuyer/myftp/papers/ksdist.pdf
>>
>> Phil
> Thanks. It looks quite thorough, indeed. Was it the Java
> implementation you didn't get a consent to release under ASL?
>>
Yes.  I am interested in your and others' opinions on the various 
algorithms reviewed there.  Could be the Marsaglia reference above 
is adequate for a start.

Phil
>>
>>>>>>>
>>>>>>> Interesting approach for the exact algorithm for Wilcoxon.  If
we stay
>>>>>>> with this, we should ack the original author of the algorithm
in the
>>>>>>> javadoc.  Looks OK to use.

>>>>>>
>>>>>> Agree - both on the approach and legal part! Does the author need
to
>>>>>> sign anything but write a mail?
>>>>>>>
>>>>>>>   Regarding the difference from R, what I usually do in this
case is
>>>>>>> look
>>>>>>> at the R sources to try to explain the difference.  Most likely
in
>>>>>>> this
>>>>>>> case, what is going on is they are using a different estimation
>>>>>>> algorithm
>>>>>>> for small n or treating ties differently.  The ranking options
that we
>>>>>>> use
>>>>>>> were largely adapted from R, so if that is the problem, it should
be
>>>>>>> easy to
>>>>>>> test.  We need to convince ourselves that ours is better or at
least a
>>>>>>> legitimate alternative.  I will take a close look this evening,
but it
>>>>>>> looks
>>>>>>> like the algorithm you are using should be exact.  If we can't
>>>>>>> reconcile the
>>>>>>> difference with R, it would be good to find a way to validate
correct
>>>>>>> functioning of the algorithm by manufacturing reference data
with
>>>>>>> known
>>>>>>> p.
>>>>>>
>>>>>> I'll try to investigate the difference, hopefully tomorrow, so that
>>>>>> formal tests can be written and included.
>>>>>>>
>>>>>>>> New tests: Wilcoxon signed-rank test and Mann-Whitney U
>>>>>>>> -------------------------------------------------------
>>>>>>>>
>>>>>>>>                 Key: MATH-431
>>>>>>>>                 URL: https://issues.apache.org/jira/browse/MATH-431
>>>>>>>>             Project: Commons Math
>>>>>>>>          Issue Type: New Feature
>>>>>>>>            Reporter: Mikkel Meyer Andersen
>>>>>>>>            Assignee: Mikkel Meyer Andersen
>>>>>>>>            Priority: Minor
>>>>>>>>         Attachments: MannWhitneyUTest.java, MannWhitneyUTestImpl.java,
>>>>>>>> WilcoxonSignedRankTest.java, WilcoxonSignedRankTestImpl.java
>>>>>>>>
>>>>>>>>   Original Estimate: 4h
>>>>>>>>   Remaining Estimate: 4h
>>>>>>>>
>>>>>>>> Wilcoxon signed-rank test and Mann-Whitney U are commonly
used
>>>>>>>> non-parametric statistical hypothesis tests (e.g. instead
of various
>>>>>>>> t-tests
>>>>>>>> when normality is not present).
>>>>>>>
>>>>>>> --
>>>>>>> This message is automatically generated by JIRA.
>>>>>>> -
>>>>>>> You can reply to this email to add a comment to the issue online.
>>>>>>>
>>>>>>>
>>>>>
>>>>>
>>>
>>>
>>
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