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From Mikkel Meyer Andersen <>
Subject Re: [jira] Commented: (MATH-431) New tests: Wilcoxon signed-rank test and Mann-Whitney U
Date Sun, 07 Nov 2010 14:48:56 GMT
2010/11/7 Phil Steitz <>:
> On 11/7/10 9:17 AM, Mikkel Meyer Andersen wrote:
>> 2010/11/7 Phil Steitz<>:
>>> On 11/6/10 12:44 PM, Mikkel Meyer Andersen wrote:
>>>> 2010/11/6 Phil Steitz (JIRA)<>:
>>>>>    [
>>>>> ]
>>>>> 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
>> ) 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 ? And do you
think their approach would be the way to go?
>>>>> 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
>>>>> 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
>>>>> legitimate alternative.  I will take a close look this evening, but
>>>>> 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:
>>>>>>             Project: Commons Math
>>>>>>          Issue Type: New Feature
>>>>>>            Reporter: Mikkel Meyer Andersen
>>>>>>            Assignee: Mikkel Meyer Andersen
>>>>>>            Priority: Minor
>>>>>>         Attachments:,,
>>>>>>   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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