Re: [R] Discontinuities in a simple graph (machine precision?)

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From: Uwe Ligges (ligges@statistik.uni-dortmund.de)
Date: Wed 05 May 2004 - 19:59:21 EST


Message-id: <4098BAF9.90506@statistik.uni-dortmund.de>

Simon Cullen wrote:

> Hi,
>
> I've got an ugly but fairly simple function:
>
> mdevstdev <- function(a){
> l <- dnorm(a)/(1-pnorm(a))
> integrand <- function(z)(abs(z-l)*dnorm(z))
> inted <- integrate(integrand, a, Inf)

It's a matter of numerical accuracy, you might want to use, e.g.:

     inted <- integrate(integrand, a, Inf,
         rel.tol = .Machine$double.eps^0.5)

Uwe Ligges

> inted[[1]]/((1- pnorm(a))*sqrt((1 + a*l - l^2)))
> }
>
> I wanted to quickly produce a graph of this over the range [-3,3] so I
> used:
>
> plotit <-function(x=seq(-3,3,0.01),...){
> y<-sapply(x,mdevstdev)
> plot(x,y,...)
> }
>
>> plotit()
>
>
> This produces the graph, but some discontinuities appear on it. I've
> produced the same graph in Mathematica 5
> (http://econserv2.bess.tcd.ie/cullens/R/DOverDelta.eps), and it was
> smooth over this range (it takes ages to run, though). Is this a
> numerical precision problem? Any suggestions on how to improve the
> precision?
>
> I'm running R 1.9 on WinXP, PIII. I haven't changed any R parameters
> that I know of.
>

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