Nothing
#-----------------------------------------------------------------------------
# Calculation of Owens Q-function by the algo given by Owen himself:
# repeated integration by parts
#
# Author: dlabes Mar 2012
#-----------------------------------------------------------------------------
#-----------------------------------------------------------------------------
# Owen's T-function:
# Calculates integral 0 to a of exp(-0.5*h^2*(1+x^2))/(1+x^2)/(2*pi)
# most simple implementation via integrate()
# TODO: consider eventually a numerical algo with high precision
# according to M. PATEFIELD, D. TANDY
OT_integrand <- function(x, h) exp(-0.5*h^2*(1+x^2))/(1+x^2)/(2*pi)
#This function has quirks if h is large. see below
OwensT_old <- function(h, a)
{
int <- integrate(OT_integrand, lower=0, upper=abs(a), h=h)$value
# in case of a=Inf or -Inf the condition T(h,-a)=-T(h,a) is not maintained!
# thus do it by ourself
int <- ifelse(a<0, -int, int)
return(int)
}
# ----------------------------------------------------------------------------
# first attempt of reworked Owen's T function to handle numeric issues if h is large
# example OwensT_old(0, 1e5)
# gives an error if stop.on.error=TRUE or gives erroneously
# -1.289739e-06,
# correct is 0.2499984, nearly the same as
# OwensT_old(0, Inf) = 0.25
# ----------------------------------------------------------------------------
# using formulas (2) found in
# Patefield M, Tandy D
# "Fast and Accurate Calculation of Owen's T-Function"
# https://www.jstatsoft.org/article/view/v005i05/t.pdf
#
# but using still integrate()
OwensT2 <- function(h, a){
# T(h, -a) = -T(h, a) thus we takes abs and care later for the sign
aa <- abs(a)
# T(-h, a) = T(h, a) thus we can take abs
hh <- abs(h)
if (aa<=1){
#T(h, a)
int <- integrate(OT_integrand, lower=0, upper=aa, h=hh, rel.tol=1e-5)$value
} else {
ah <- aa*hh
#T(a*h, 1/a)
int <- integrate(OT_integrand, lower=0, upper=1/aa, h=ah, rel.tol=1e-5)$value
#equation 2.3, Owen 1956
phh <- pnorm(hh)
pah <- pnorm(ah)
int <- 0.5*(phh + pah) - phh*pah - int
}
# take care of sign
# T(h, -a) = -T(h, a)
int <- ifelse(a<0, -int, int)
int
}
# OwensT according AS76 (see below) needs ~25-50% longer run time as OwensT2
# if h,a are not among the special cases and implementation of Gauss quadraturde
# is via a loop
# ----------------------------------------------------------------------------
# Owen's T-function according to algorithm AS76 and remarks AS R65, AS R80
# R port of the FORTRAN code in the References and matlab code given on
# https://people.sc.fsu.edu/~jburkardt/m_src/asa076/asa076.html
# by J. Burkhardt, license GNU LGPL
#
# no trouble with integrate()
# arguments must be scalars!
OwensT <- function(h, a)
{
eps <- .Machine$double.eps # 2.220446e-16 on my machine
if (abs(a)<eps | !is.finite(h) | abs(1-abs(a))<eps | abs(h)<eps |
!is.finite(abs(a))) {
# special cases
# D.B. Owen
# "Tables for computing bivariate normal Probabilities"
# The Annals of Mathematical Statistics, Vol. 27 (4) Dec. 1956, pp. 1075-1090
if (abs(a)<eps) return(0) # a==0
if (!is.finite(h)) return(0) # h==Inf, -Inf
if (abs(1-abs(a))<eps) return(sign(a)*0.5*pnorm(h)*(1-pnorm(h))) # a==1
if (abs(h)<eps) return(atan(a)/2/pi) # h==0
# a==Inf, -Inf
if (!is.finite(abs(a))){
if(h<0) tha <- pnorm(h)/2. else tha <- (1-pnorm(h))/2
return(sign(a)*tha)
}
}
# Boys AS R80
# AS R89 recommends *not* to use this
# if (abs(h) < 0.3 && 7.0 < abs(a)){
# lam <- abs(a*h)
# ex <- exp(-lam*lam/2.0)
# g <- pnorm(lam)
# c1 <- (ex/lam + sqrt(2.0*pi)*(g - 0.5) )/(2.0*pi)
# c2 <- ((lam*lam + 2.0)*ex/lam/lam/lam + sqrt(2.0*pi)*(g - 0.5))/(12.0*pi)
# ah <- abs(h)
# tha <- abs(0.25 - c1*ah + c2*ah^3)
# # next is paranoia?
# if (a<0.0) tha <- -tha
# return(tha)
# }
aa <- abs(a)
if (aa <= 1.0){
# sign is controlled in tfn()
tha <- tfn(h, a)
return(tha)
} else {
ah <- aa * h
gh <- pnorm(h)
gah <- pnorm (ah);
tha <- 0.5*(gh + gah) - gh*gah - tfn(ah, 1.0/aa);
}
if (a < 0.0) tha <- -tha
return(tha)
} #end function
# Auxillary function
# R port of the matlab code given on
# https://people.sc.fsu.edu/~jburkardt/m_src/owens/owens.html
# by J. Burkhardt license GNU LGPL
# the home page with the MATLAB code is gone meanwhile!
#
# is called as tfn(h, a) if a<=1
# otherwise as tfn(a*h, 1/a)
tfn <- function(x, fx)
{
# constants
ng <- 5
#r <- c(0.1477621, 0.1346334, 0.1095432, 0.0747257, 0.0333357)
#u <- c(0.0744372, 0.2166977, 0.3397048, 0.4325317, 0.4869533)
# coefficients with more decimals (15) for the 10-point Gauss quadrature
# THX to PharmCat who took the coefficients from Julia
# but does it make sense?
r <- c(0.14776211235737646, 0.13463335965499826, 0.10954318125799103,
0.07472567457529028, 0.033335672154344104)
u <- c(0.07443716949081561, 0.2166976970646236, 0.3397047841495122,
0.43253168334449227, 0.48695326425858587)
tp <- 1/(2.*pi) # 0.159155
tv1 <- .Machine$double.eps # 1e-19 in AS R65, 1E-35 in matlab code
# 2.220446e-16 on my machine
tv2 <- 15.0 # is =13 in AS R65
tv3 <- 15.0
tv4 <- 1.0E-05
#
# Test for X (=h) near zero
# this is superflous since it is handled in the higher level function
#if (abs(x) < tv1) return(tp*atan(fx))
#
# Test for large values of abs(x) = abs(h)
# May be this is also superflous?
if (tv2 < abs(x)) return(0)
#
# Test for FX (= a) near zero.
# this is superflous since it is handled in the higher level function
#if (abs(fx) < tv1) return(0)
#
# Test whether abs(FX) is so large that it must be truncated
# Is this really necessary? Since we call this function with fx = a <=1
# or otherwise with 1/a.
xs <- -0.5*x*x
x2 <- fx
fxs <- fx * fx
# Computation of truncation point by Newton iteration
if (tv3 <= log(1.0 + fxs) - xs*fxs){
x1 <- 0.5 * fx
fxs <- 0.25 * fxs
while (1){
rt <- fxs + 1.0
x2 <- x1 + (xs*fxs + tv3 - log(rt))/(2.0*x1*(1.0/rt - xs))
fxs <- x2 * x2;
if (abs(x2 - x1) < tv4) break
x1 <- x2
}
}
#
# 10 point Gaussian quadrature.
# original via loop
# rt <- 0.0
# for (i in 1:ng) {
# r1 <- 1.0 + fxs*(0.5 + u[i])^2;
# r2 <- 1.0 + fxs*(0.5 - u[i])^2;
#
# rt <- rt + r[i]*(exp(xs*r1)/r1 + exp(xs*r2)/r2)
# }
# vectorized form, gives a run-time boost of ~50% compared to loop
# example: system.time(for (i in 1:10000) OwensT(h=2, a=0.7))
# loop: 0.45 sec, vectorized: 0.22, OwensT2(integrate() solution): 0.34
r1 <- 1.0 + fxs*(0.5 + u)^2
r2 <- 1.0 + fxs*(0.5 - u)^2
rt <- sum(r*(exp(xs*r1)/r1 + exp(xs*r2)/r2))
return(rt * x2 * tp)
}
# ----------------------------------------------------------------------------
# Owen's Q-function
# Calculates Owen's Q-function via repeated integration by parts
# formulas as given in
# Owen, D B (1965)
# "A Special Case of a Bivariate Non-central t-Distribution"
# Biometrika Vol. 52, pp.437-446.
OwensQOwen <- function(nu, t, delta, a=0, b)
{
if (nu<1) stop("nu must be >=1!")
if (a != 0) stop("Only a=0 implemented!")
# return nct if b is infinite
if (!is.finite(b)) return(pt(t, df=nu, ncp=delta))
# use a large delta if delta is infinite, using Inf results in an error
if (!is.finite(delta)) delta <- sign(delta)*1e20
A <- t/sqrt(nu)
B <- nu/(nu + t*t)
upr <- nu-2 # upper index of integration by parts
# the coefficients a(k)
av <- vector(mode="numeric", length=nu)
for (k in seq_along(av)){
if (k==1 | k==2) av[k] <- 1 else av[k] <- 1/((k-2)*av[k-1])
}
ll <- ifelse((upr-1)>0, upr-1, 0)
L <- vector(mode="numeric", length=ll)
# k-1 of the formulas transformes to k here
if(is.finite(b)){
# all L[k] are NaN if b==Inf, since dnorm(Inf)==0 and 0*Inf=NaN
# we use L[k]=0 instead
for (k in seq_along(L)){
# gives NaN
if (k==1) L[1] <- 0.5*A*B*b*dnorm(b)*dnorm(A*b-delta)
else L[k] <- av[k+3]*b*L[k-1]
}
}
# the series 0 to k is stored as 1 to k+1
ll <- ifelse((upr+1)>0, upr+1, 0)
H <- vector(mode="numeric", length=ll)
# k+1 of the formulas transformes to k here
if(is.finite(b)){
# since H[1]==0 we also get NaN here if b==Inf
for (k in seq_along(H)){
if (k==1) H[1] <- - dnorm(b)*pnorm(A*b-delta)
else H[k] <- av[k+1]*b*H[k-1]
}
}
M <- vector(mode="numeric", length=ll)
sB <- sqrt(B)
# k+1 in the formulas transformes to k here
for (k in seq_along(M)){
if (k==1) M[1] <- A*sB*dnorm(delta*sB)*( pnorm(delta*A*sB) -
pnorm((delta*A*B-b)/sB) )
if (k==2) M[2] <- B*( delta*A*M[1] + A*dnorm(delta*sB)*
( dnorm(delta*A*sB)-dnorm((delta*A*B-b)/sB)) )
if (k>2) M[k] <- ((k-2)/(k-1))*B*(av[k-1]*delta*A*M[k-1] + M[k-2]) - L[k-2]
}
sumt <- 0
if (2*(nu%/%2)!= nu){
# odd values of nu
# sum over odd indices 1, 3, ..., nu-2
# they are stored in k+1 (0 as index is not allowed),
# i.e. at the even indices
if (upr>=1){
# for (k in seq(1, upr, by=2)) sumt <- sumt + M[k+1] + H[k+1]
# vectorized form of a for loop
k <- seq(1, upr, by=2)
sumt <- sum(M[k+1]) + sum(H[k+1])
}
# if b==Inf what then?
# rewrite second argument in first OwensT call (A*b-delta)/b which
# gives NaN to A-delta/b which gives A if b==Inf
qv <- pnorm(b) - 2*OwensT(b, A-delta/b) -
2*OwensT(delta*sB, (delta*A*B-b)/B/delta) +
2*OwensT(delta*sB, A) - (delta>=0) + 2*sumt
} else {
# even values of nu
# sum over even indices 0, 2, ..., nu-2
# they are stored in k+1
if (upr>=0){
# vectorized form of the for loop
k <- seq(0, upr, by=2)
sumt <- sum(M[k+1]) + sum(H[k+1])
}
qv <- pnorm(-delta) + sqrt(2*pi)*sumt
}
return(qv)
}
# ----------------------------------------------------------------------------
# raw power function using OwensQOwen
.power.TOST.Q0 <- function(alpha=0.05, ltheta1, ltheta2, diffm, se, n, df, bk=2)
{
tval <- qt(1 - alpha, df, lower.tail = TRUE)
# if alpha>0.5 (very unusual) then b=R is negative if not using abs()
# in the application of OwensQ the upper integration limit
# is lower then the lower integration limit!
# SAS OwenQ gives missings if b or a are negative!
delta1 <- (diffm-ltheta1)/(se*sqrt(bk/n))
delta2 <- (diffm-ltheta2)/(se*sqrt(bk/n))
# 0/0 -> NaN in case diffm=ltheta1 or diffm=ltheta2 and se=0!
delta1[is.nan(delta1)] <- 0
delta2[is.nan(delta2)] <- 0
# R is infinite in case of alpha>=0.5
R <- (delta1-delta2)*sqrt(df)/(2.*tval)
R[R<0] <- Inf
# to avoid numerical errors in OwensQ implementation
if (min(df)>10000) {
# Joulious formula (57) or (67), normal approximation
p1 <- pnorm( (abs(delta1)-tval), lower.tail = TRUE)
p2 <- pnorm( (abs(delta2)-tval), lower.tail = TRUE)
return(p1 + p2 -1.)
}
# attempt to vectorize (it vectorizes properly if diffm is a vector
# OR se OR n,df are vectors)
nel <- length(delta1)
dl <- length(tval)
p1 <- c(1:nel)
p2 <- p1
# print(df)
# print(tval)
# print(delta1)
# print(delta2)
# print(R)
for (i in seq_along(delta1)) {
if (dl>1) {ddf <- df[i]; ttt <- tval[i]}
else {ddf <- df[1]; ttt <- tval[1]}
p1[i] <- OwensQOwen(ddf, ttt, delta1[i], 0, R[i])
p2[i] <- OwensQOwen(ddf, -ttt, delta2[i], 0, R[i])
}
return( p2-p1 )
}
# check the function(s)
#require(PowerTOST)
#se <- CV2se(0.075)
#.power.TOST.Q0(alpha=0.05, ltheta1=log(0.8), ltheta2=log(1.25),
# diffm=0, se=se, n=4, df=2, bk=2)
#PowerTOST:::.power.TOST(alpha=0.05, ltheta1=log(0.8), ltheta2=log(1.25),
# diffm=0, se=se, n=4, df=2, bk=2)
#.power.TOST.Q0(alpha=0.05, ltheta1=log(0.8), ltheta2=log(1.25),
# diffm=0, se=se, n=6, df=4, bk=2)
#PowerTOST:::.power.TOST(alpha=0.05, ltheta1=log(0.8), ltheta2=log(1.25),
# diffm=0, se=se, n=6, df=4, bk=2)
#
#
#OwensQ(2,-2.919986,-4.213542,0,2.040712)
#OwensQ(2,2.919986,4.213542,0,2.040712)
#
#OwensQOwen(2, 2.919986, 4.213542,0,2.040712)
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.