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MannWhitneyTest reports the test statistic incorrectly and returns inaccurate p-values #38

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psteitz opened this Issue Apr 29, 2018 · 0 comments

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psteitz commented Apr 29, 2018

The first problem (incorrect U statistic) was reported as MATH-1453. What is returned by MannWhitneyU is actually the Wilcoxon Signed Rank statistic (the maximum of the U+ and U-) What is used in the test is the correct statistic. The p-values returned by the test suffer from three accuracy-related problems:

  1. The normal approximation is alway used, even for very small samples.
  2. No continuity correction is applied to the normal approximation.
  3. No bias-correction is applied to the variance estimate when ties are present in the data.

@psteitz psteitz closed this in 0c01903 Apr 30, 2018

psteitz added a commit that referenced this issue May 3, 2018

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