WelchSatter: Welch-Satterthwaite approximation to the 'effective degrees...

In propagate: Propagation of Uncertainty

Description

Calculates the Welch-Satterthwaite approximation to the 'effective degrees of freedom' by using the samples' uncertainties and degrees of freedoms, as described in Welch (1947) and Satterthwaite (1946). External sensitivity coefficients can be supplied optionally.

Usage

WelchSatter(ui, ci = NULL, df = NULL, dftot = NULL, uc = NULL, alpha = 0.05)

Arguments

ui	the uncertainties u_i for each variable x_i.
ci	the sensitivity coefficients c_i = \partial y/\partial x_i.
df	the degrees of freedom for the samples, ν_i.
dftot	an optional known total degrees of freedom for the system, ν_{\mathrm{tot}}. Overrides the internal calculation of ν_{\mathrm{ws}}.
uc	the combined uncertainty, u(y).
alpha	the significance level for the t-statistic. See 'Details'.

Details

ν_{\rm{eff}} \approx \frac{u(y)^4}{∑_{i = 1}^n \frac{(c_iu_i)^4}{ν_i}}, \quad k = t(1 - (α/2), ν_{\rm{eff}}), \quad u_{\rm{exp}} = ku(y)

Value

A list with the following items:

ws.df	the 'effective degrees of freedom'.
k	the coverage factor for calculating the expanded uncertainty.
u.exp	the expanded uncertainty u_{\rm{exp}}.

Author(s)

Andrej-Nikolai Spiess

References

An Approximate Distribution of Estimates of Variance Components.
Satterthwaite FE.
Biometrics Bulletin (1946), 2: 110-114.

The generalization of "Student's" problem when several different population variances are involved.
Welch BL.
Biometrika (1947), 34: 28-35.

Examples

## Taken from GUM H.1.6, 4).
WelchSatter(ui = c(25, 9.7, 2.9, 16.6), df = c(18, 25.6, 50, 2), uc = 32, alpha = 0.01)

Example output

Loading required package: MASS
Loading required package: tmvtnorm
Loading required package: mvtnorm
Loading required package: Matrix
Loading required package: stats4
Loading required package: gmm
Loading required package: sandwich
Loading required package: Rcpp
Loading required package: ff
Loading required package: bit
Attaching package bit
package:bit (c) 2008-2012 Jens Oehlschlaegel (GPL-2)
creators: bit bitwhich
coercion: as.logical as.integer as.bit as.bitwhich which
operator: ! & | xor != ==
querying: print length any all min max range sum summary
bit access: length<- [ [<- [[ [[<-
for more help type ?bit

Attaching package: 'bit'

The following object is masked from 'package:base':

    xor

Attaching package ff
- getOption("fftempdir")=="/work/tmp/tmp/Rtmp9rwEXS"

- getOption("ffextension")=="ff"

- getOption("ffdrop")==TRUE

- getOption("fffinonexit")==TRUE

- getOption("ffpagesize")==65536

- getOption("ffcaching")=="mmnoflush"  -- consider "ffeachflush" if your system stalls on large writes

- getOption("ffbatchbytes")==16777216 -- consider a different value for tuning your system

- getOption("ffmaxbytes")==536870912 -- consider a different value for tuning your system


Attaching package: 'ff'

The following objects are masked from 'package:bit':

    clone, clone.default, clone.list

The following objects are masked from 'package:utils':

    write.csv, write.csv2

The following objects are masked from 'package:base':

    is.factor, is.ordered

Loading required package: minpack.lm
$ws.df
[1] 17.47182

$k
[1] 2.898231

$u.exp
[1] 92.74338

propagate documentation built on May 2, 2019, 5:39 a.m.