value point at which distribution function is to be evaluated
lambda
the weights λ_1, λ_2, ..., λ_n, i.e. distinct non-zero characteristic roots of A.Sigma
h
respective orders of multiplicity n_j of the lambdas
delta
non-centrality parameters δ_j^2
sigma
coefficient σ of the standard Gaussian
lim
maximum number of integration terms. Realistic values for
lim range from 1000 if the procedure is ti be called repeatedly up
to 50 000 if it is to be called only occasionally
acc
error bound. Suitable values for acc range from 0.001 to
0.00005 which should be adequate for most statistical purposes.
Details
Computes P[Q>q] where Q = sum_{j=1}^r lambda_j X_j+ sigma X_0 where X_j are independent random variables having a non-central chi^2 distribution with n_j degrees of freedom and non-centrality parameter delta_j^2 for j=1,...,r and X_0 having a standard Gaussian distribution.
Value
trace
vector, indicating performance of procedure, with the
folowwing components: 1. absolute
value sum, 2. total number of integration terms, 3. number of
integrations, 4. integration interval in main integration,
5. truncation point in initial integration, 6. standard deviation of
convergence factor term, 7. number of cycles to locate integration parameters
ifault
fault indicator: 0: no error, 1: requested accuracy
could not be obtained, 2: round-off error possibly significant, 3:
invalid parameters, 4: unable to locate integration parameters
P. Duchesne, P. Lafaye de Micheaux, Computing the distribution of quadratic forms: Further comparisons between the Liu-Tang-Zhang approximation and exact methods, Computational Statistics and Data Analysis, Volume 54, (2010), 858-862
Davies R.B., Algorithm AS 155: The Distribution of a Linear
Combination of chi-2 Random Variables, Journal of the Royal
Statistical Society. Series C (Applied Statistics), 29(3), p. 323-333,
(1980)
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> library(CompQuadForm)
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/CompQuadForm/davies.Rd_%03d_medium.png", width=480, height=480)
> ### Name: davies
> ### Title: Davies method
> ### Aliases: davies
> ### Keywords: distribution htest
>
> ### ** Examples
>
> # Some results from Table 3, p.327, Davies (1980)
>
> round(1-davies(1,c(6,3,1),c(1,1,1))$Qq,4)
[1] 0.0542
> round(1-davies(7,c(6,3,1),c(1,1,1))$Qq,4)
[1] 0.4936
> round(1-davies(20,c(6,3,1),c(1,1,1))$Qq,4)
[1] 0.876
>
> round(1-davies(2,c(6,3,1),c(2,2,2))$Qq,4)
[1] 0.0064
> round(1-davies(20,c(6,3,1),c(2,2,2))$Qq,4)
[1] 0.6002
> round(1-davies(60,c(6,3,1),c(2,2,2))$Qq,4)
[1] 0.9839
>
> round(1-davies(10,c(6,3,1),c(6,4,2))$Qq,4)
[1] 0.0027
> round(1-davies(50,c(6,3,1),c(6,4,2))$Qq,4)
[1] 0.5648
> round(1-davies(120,c(6,3,1),c(6,4,2))$Qq,4)
[1] 0.9912
>
> round(1-davies(20,c(7,3),c(6,2),c(6,2))$Qq,4)
[1] 0.0061
> round(1-davies(100,c(7,3),c(6,2),c(6,2))$Qq,4)
[1] 0.5913
> round(1-davies(200,c(7,3),c(6,2),c(6,2))$Qq,4)
[1] 0.9779
>
> round(1-davies(10,c(7,3),c(1,1),c(6,2))$Qq,4)
[1] 0.0451
> round(1-davies(60,c(7,3),c(1,1),c(6,2))$Qq,4)
[1] 0.5924
> round(1-davies(150,c(7,3),c(1,1),c(6,2))$Qq,4)
[1] 0.9776
>
> round(1-davies(70,c(7,3,7,3),c(6,2,1,1),c(6,2,6,2))$Qq,4)
[1] 0.0437
> round(1-davies(160,c(7,3,7,3),c(6,2,1,1),c(6,2,6,2))$Qq,4)
[1] 0.5848
> round(1-davies(260,c(7,3,7,3),c(6,2,1,1),c(6,2,6,2))$Qq,4)
[1] 0.9538
>
> round(1-davies(-40,c(7,3,-7,-3),c(6,2,1,1),c(6,2,6,2))$Qq,4)
[1] 0.0782
> round(1-davies(40,c(7,3,-7,-3),c(6,2,1,1),c(6,2,6,2))$Qq,4)
[1] 0.5221
> round(1-davies(140,c(7,3,-7,-3),c(6,2,1,1),c(6,2,6,2))$Qq,4)
[1] 0.9604
>
>
>
>
>
> dev.off()
null device
1
>