R: Distribution of quadratic forms

pchisqsum {survey} | R Documentation

## Distribution of quadratic forms

### Description

The distribution of a quadratic form in p standard Normal variables is a linear combination of p chi-squared distributions with 1df. When there is uncertainty about the variance, a reasonable model for the distribution is a linear combination of F distributions with the same denominator.

### Usage

    pchisqsum(x, df, a, lower.tail = TRUE,
       method = c("satterthwaite", "integration","saddlepoint"))
    pFsum(x, df, a, ddf=Inf,lower.tail = TRUE,
       method = c("saddlepoint","integration","satterthwaite"), ...)

### Arguments

`x` | Observed values
`df` | Vector of degrees of freedom
`a` | Vector of coefficients
`ddf` | Denominator degrees of freedom
`lower.tail` | lower or upper tail?
`method` | See Details below
`...` | arguments to `pchisqsum`

### Details

The `"satterthwaite"` method uses Satterthwaite's approximation, and this is also used as a fallback for the other methods. The accuracy is usually good, but is more variable depending on `a` than the other methods and is anticonservative in the right tail (eg for upper tail probabilities less than `10^-5`). The Satterthwaite approximation requires all `a>0`.

`"integration"` requires the `CompQuadForm` package. For `pchisqsum` it uses Farebrother's algorithm if all `a>0`. For `pFsum` or when some `a<0` it inverts the characteristic function using the algorithm of Davies (1980). These algorithms are highly accurate for the lower tail probability, but they obtain the upper tail probability by subtraction from 1 and so fail completely when the upper tail probability is comparable to machine epsilon or smaller.

If the `CompQuadForm` package is not present, a warning is given and the saddlepoint approximation is used.

`"saddlepoint"` uses Kuonen's saddlepoint approximation. This is moderately accurate even very far out in the upper tail or with some `a=0` and does not require any additional packages. It is implemented in pure R and so is slower than the `"integration"` method.

The distribution in `pFsum` is standardised so that a likelihood ratio test can use the same `x` value as in `pchisqsum`. That is, the linear combination of chi-squareds is multiplied by `ddf` and then divided by an independent chi-squared with `ddf` degrees of freedom.

### Value

Vector of cumulative probabilities

### References

Davies RB (1973). "Numerical inversion of a characteristic function" Biometrika 60:415-7

Davies RB (1980) "Algorithm AS 155: The Distribution of a Linear Combination of chi-squared Random Variables" Applied Statistics,Vol. 29, No. 3 (1980), pp. 323-333

P. Duchesne, P. Lafaye de Micheaux (2010) "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

Farebrother R.W. (1984) "Algorithm AS 204: The distribution of a Positive Linear Combination of chi-squared random variables". Applied Statistics Vol. 33, No. 3 (1984), p. 332-339

Kuonen D (1999) Saddlepoint Approximations for Distributions of Quadratic Forms in Normal Variables. Biometrika, Vol. 86, No. 4 (Dec., 1999), pp. 929-935

### See Also

`pchisq`

### Examples

    x <- 2.7*rnorm(1001)^2+rnorm(1001)^2+0.3*rnorm(1001)^2
    x.thin<-sort(x)[1+(0:50)*20]
    p.invert<-pchisqsum(x.thin,df=c(1,1,1),a=c(2.7,1,.3),method="int" ,lower=FALSE)
    p.satt<-pchisqsum(x.thin,df=c(1,1,1),a=c(2.7,1,.3),method="satt",lower=FALSE)
    p.sadd<-pchisqsum(x.thin,df=c(1,1,1),a=c(2.7,1,.3),method="sad",lower=FALSE)

    plot(p.invert, p.satt,type="l",log="xy")
    abline(0,1,lty=2,col="purple")
    plot(p.invert, p.sadd,type="l",log="xy")
    abline(0,1,lty=2,col="purple")

    pchisqsum(20, df=c(1,1,1),a=c(2.7,1,.3), lower.tail=FALSE,method="sad")
    pFsum(20, df=c(1,1,1),a=c(2.7,1,.3), ddf=49,lower.tail=FALSE,method="sad")
    pFsum(20, df=c(1,1,1),a=c(2.7,1,.3), ddf=1000,lower.tail=FALSE,method="sad")

[Package survey version 3.32-1 Index]