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From Mikkel Meyer Andersen <m...@mikl.dk>
Subject Re: [jira] Commented: (MATH-431) New tests: Wilcoxon signed-rank test and Mann-Whitney U
Date Sun, 07 Nov 2010 14:17:03 GMT
2010/11/7 Phil Steitz <phil.steitz@gmail.com>:
> On 11/6/10 12:44 PM, Mikkel Meyer Andersen wrote:
>>
>> 2010/11/6 Phil Steitz (JIRA)<jira@apache.org>:
>>>
>>>    [
>>> https://issues.apache.org/jira/browse/MATH-431?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12929054#action_12929054
>>> ]
>>>
>>> Phil Steitz commented on MATH-431:
>>> ----------------------------------
>>>
>>> +1 for including both of these tests.  Then on to MATH-228
>>
>> Anything I should do in regard to that?
>
> 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 :-).
>>>
>>> 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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