[SciPy-dev] Bug/Error with chi-squared distribution and df<1
josef.pktd@gmai...
josef.pktd@gmai...
Tue Sep 22 19:39:55 CDT 2009
On Tue, Sep 22, 2009 at 5:48 PM, Kevin Dunn <kgdunn@gmail.com> wrote:
>> ti, 2009-09-22 kello 14:27 -0400, josef.pktd@gmail.com kirjoitti:
>> [clip]
>>> Taking the hint with incomplete gamma, the following looks good. This
>>> would mean until Pauli fixes scipy.special if it your fix works, we
>>> could also use gammainc directly. I don't know the differences between
>>> the various implementations well enough to see whether we buy some
>>> other problems with this
>>
>> The C function `igam` called by `chdtr` is the same as what is exposed
>> as `gammainc`.
>
> Thanks again to all the helpful replies on this list. I'm using this
> relationship between the chi-squared distribution and the gamma
> function to evaluate the CDF and inverse CDF.
>
> As an example for future readers of this list, let our value be x = 3
> with 0.6 degrees of freedom,
>
> Chi-square CDF
> ----------------
> * In MATLAB: chi2cdf(3, 0.6) % 0.957890536704110
> * In R: pchisq(3, 0.6) # 0.9578905
> * And temporarily in SciPy: scipy.special.gammainc(0.6/2.0, 3/2.0)
> # note the order of parameters is flipped; result =
> 0.95789053670411062
> * Or another temporary possibility: scipy.stats.gamma.cdf(3/2.0,
> 0.6/2.0) # this time the parameters are in the expected order
>
> But ideally in SciPy: scipy.stats.chi2.cdf(3, 0.6) # currently
> returns a NaN, but should return the same result above
>
> Inverse Chi-square CDF
> ----------------
> * In MATLAB: chi2inv(0.95789, 0.6) % 2.999980885343446
> * In R: qchisq(0.95789, 0.6) # 2.999981
> * And temporarily in SciPy: scipy.special.gammaincinv(0.6/2.0,
> 0.95789) * 2.0 # again we reorder the parameters; result =
> 2.9999808853434109
> * Or another temporary possibility: scipy.stats.gamma.ppf(0.95789,
> 0.6/2.0)*2 # 2.9999808853434109
>
> But ideally in SciPy: scipy.stats.chi2.ppf(0.95789, 0.6) # currently
> returns a NaN, but should return the same result above
>
> Hope that helps in the mean time,
> Kevin
>
>
>
>> --
>> Pauli Virtanen
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>
We got ticket 1000 : http://projects.scipy.org/scipy/ticket/1000
I added the information, especially for future reference about the
relationship between the chi squared distribution and gammainc and the
gamma distribution.
Josef
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