From: roger koenker <rkoenker_at_uiuc.edu>

Date: Fri 09 Dec 2005 - 17:36:24 GMT

R-devel@r-project.org mailing list

https://stat.ethz.ch/mailman/listinfo/r-devel Received on Sat Dec 10 04:41:22 2005

Date: Fri 09 Dec 2005 - 17:36:24 GMT

On Dec 9, 2005, at 10:05 AM, Luke Tierney wrote:

> On Thu, 8 Dec 2005, Peter Dalgaard wrote:

*>
**>> roger koenker <rkoenker@uiuc.edu> writes:
**>>
**>>> I was experimenting yesterday with a binomial make.link option
**>>> for estimating student t binary response models, tentatively
**>>> called gossit, and I noticed eventually that the R qt function
**>>> doesn't
**>>> like df < 1. Vaguely recalling that Splus didn't seem to mind such
**>>> weirdness, I checked on our soon to be defunct Splus6.2 and
**>>> sure enough, it produced plausible answers instead of R's NA's.
**>>> Of course, I have no way of judging the quality of these answers,
**>>> but I'm curious about whether someone has already looked into
**>>> this can of worms.
**>>
**>> Well the help page has:
**>>
**>> For 'qt' only values of at least one are currently supported.
**>>
**>> and someone must have written that...
**>>
**>> R does have pt for df < 1, so a temporary fix using uniroot() seems
**>> doable.
**>>
**>>
**>
**> Something like
**>
**> qqt<-function(p,df) sign(p-0.5)*sqrt(qf(1-2*pmin(p,1-p),1,df))
**>
**> seems to do reasonably, at least in terms of consistency with pt, down
**> to 0.2 or mayby 0.1 df based on
**>
**> f<-function(d, n = 101) {
**> x<-seq(0, 1, len = n)
**> max(abs(pt(qqt(x, d), d) - x))
**> }
**> plot(function(d) log10(sapply(d, f)), .01,1)
**>
**> luke
*

Splus6.2 seems to be using just this approach based on similar testing.

Pure schadenfreude makes it hard to resist mentioning that in Splus6.2
qf(0, df1, df2) gives -Inf rather than 0, which caused some
difficulties initially with my

attempt to replicate the comparison.

Roger

*>
**> --
**> Luke Tierney
*

> Chair, Statistics and Actuarial Science

*> Ralph E. Wareham Professor of Mathematical Sciences
**> University of Iowa Phone: 319-335-3386
**> Department of Statistics and Fax: 319-335-3017
**> Actuarial Science
**> 241 Schaeffer Hall email: luke@stat.uiowa.edu
**> Iowa City, IA 52242 WWW: http://www.stat.uiowa.edu
*

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https://stat.ethz.ch/mailman/listinfo/r-devel Received on Sat Dec 10 04:41:22 2005

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