welch

1 files changed, 64 insertions, 23 deletions

diff --git a/ministat.c b/ministat.c
index e1c5982..96fb407 100644
--- a/ministat.c
+++ b/ministat.c
@@ -311,33 +311,74 @@ Vitals(struct dataset *ds, int flag)
 	printf("\n");
 }
 
+static double dof(struct dataset *a, struct dataset *b)
+{
+	double v;
+
+	v = Var(a) / a->sn + Var(b) / b->sn;
+	v *= v;
+
+	v /= (Var(a) * Var(a) / (a->sn * a->sn * (a->sn - 1)) +
+	      (Var(b) * Var(b) / (b->sn * b->sn * (b->sn - 1))));
+
+	return v;
+}
+
+static double welch(struct dataset *a, struct dataset *b)
+{
+	return (Avg(a) - Avg(b)) / sqrt(Var(a) / a->n + Var(b) / b->n);
+}
+
+struct welch_pvalue {
+	double w, v, gamma;
+};
+
+static double incomplete_bessel(double x, void *data)
+{
+	struct welch_pvalue *pv = data;
+
+	return pow(x, pv->v / 2 - 1) / sqrt(1 - x) / pv->gamma;
+}
+
+static double simpson(int n, double upper,
+		      double (*fn)(double, void *), void *data)
+{
+	double dx = upper / n, x = dx;
+	double sum = 0;
+
+	sum += fn(0, data) * dx;
+	sum += fn(dx / 2, data) * dx * 4;
+	while (--n) {
+		sum += fn(x, data) * dx * 2;
+		sum += fn(x + dx / 2, data) * dx * 4;
+		x += dx;
+	}
+	sum += fn(upper, data) * dx;
+
+	return sum / 6;
+}
+
+static double pvalue(double w, double v)
+{
+	struct welch_pvalue pv = {
+		.w = w,
+		.v = v,
+		.gamma = exp(lgamma(v / 2) + lgamma(.5) - lgamma(v / 2 + .5)),
+	};
+
+	return simpson(2000, v / (w * w + v), incomplete_bessel, &pv);
+}
+
 static void
 Relative(struct dataset *ds, struct dataset *rs, int confidx)
 {
-	double spool, s, d, e, t;
-	int i;
+	double p = 100 *(1 - pvalue(welch(ds, rs), dof(ds, rs)));
 
-	i = ds->sn + rs->sn - 2;
-	if (i > NSTUDENT)
-		t = student[0][confidx];
-	else
-		t = student[i][confidx];
-	spool = (ds->sn - 1) * Var(ds) + (rs->sn - 1) * Var(rs);
-	spool /= ds->sn + rs->sn - 2;
-	spool = sqrt(spool);
-	s = spool * sqrt(1.0 / ds->sn + 1.0 / rs->sn);
-	d = Avg(ds) - Avg(rs);
-	e = t * s;
-
-	if (fabs(d) > e) {
-	
-		printf("Difference at %.1f%% confidence\n", studentpct[confidx]);
-		printf("	%g +/- %g\n", d, e);
-		printf("	%g%% +/- %g%%\n", d * 100 / Avg(rs), e * 100 / Avg(rs));
-		printf("	(Student's t, pooled s = %g)\n", spool);
-	} else {
-		printf("No difference proven at %.1f%% confidence\n",
-		    studentpct[confidx]);
+	if (p > studentpct[confidx]) {
+		printf("Difference at %.1f%% confidence: %g (%.2f%%)\n",
+		       p,
+		       Avg(ds) - Avg(rs),
+		       (Avg(ds) - Avg(rs)) / Avg(ds) * 100);
 	}
 }