Fix wrong variance calculation in BiasReduced estimator

jan-imbi · May 9, 2023 · f9fb284 · f9fb284
1 parent 3af1f1b
commit f9fb284
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Showing 2 changed files with 32 additions and 3 deletions.
diff --git a/R/estimators.R b/R/estimators.R
@@ -505,12 +505,12 @@ setMethod("get_stagewise_estimators", signature("BiasReduced", "Normal"),
             diff <- Vectorize(\(design, mu_plugin, sigma, two_armed, ...) {
               int_kv(design = design,
                      g1 = \(smean1, n1, sigma, two_armed, ...) {
-                       se1sq <- sigma^2 / ((1L + two_armed) * n1)
+                       se1sq <- sigma^2 * (1L + two_armed) / n1
                        (smean1 - mu_plugin) * ( (smean1 - mu_plugin) /se1sq) - 1
                      },
                      g2 = \(smean1, smean2, n1, n2, sigma, two_armed, ...) {
-                       se1sq <- sigma^2 / ((1L + two_armed) * n1)
-                       se2sq <- sigma^2 / ((1L + two_armed) * n2)
+                       se1sq <- sigma^2 * (1L + two_armed) / n1
+                       se2sq <- sigma^2 * (1L + two_armed) / n2
                        ((n1 * smean1 + n2 * smean2) / (n1 + n2) - mu_plugin) * ( (smean1 - mu_plugin) /se1sq + (smean2 - mu_plugin) /se2sq ) - 1
                      },
                      mu = mu_plugin,

diff --git a/tests/misc/bias_reduced_unknown_variance_is_correct.R b/tests/misc/bias_reduced_unknown_variance_is_correct.R
@@ -0,0 +1,29 @@
+# Set tolerances for unit testing
+options(
+  list(
+    # Root finding inside estimators
+    adestr_tol_roots = 1e-3,
+    adestr_maxiter_roots = 1e3,
+    # Integrals used inside estimators
+    adestr_tol_inner = 5e-3,
+    adestr_maxEval_inner = 1e3,
+    adestr_absError_inner = 1e-5,
+    # Integrals to evaluate estimators
+    adestr_tol_outer = 5e-6,
+    adestr_maxEval_outer = 3e4,
+    adestr_absError_outer = 1e-8
+  )
+)
+
+evaluate_estimator(MSE(), SampleMean(), Normal(FALSE), design = designad, mu=0.3, sigma = 1)
+evaluate_estimator(MSE(), MedianUnbiasedMLEOrdering(), Normal(FALSE), design = designad, mu=0.3, sigma = 1)
+evaluate_estimator(MSE(), BiasReduced(), Normal(FALSE), design = designad, mu=0.3, sigma = 1)
+
+evaluate_estimator(MSE(), SampleMean(), Normal(TRUE), design = designad, mu=0.3, sigma = 1)
+evaluate_estimator(MSE(), MedianUnbiasedMLEOrdering(), Normal(TRUE), design = designad, mu=0.3, sigma = 1)
+evaluate_estimator(MSE(), BiasReduced(), Normal(TRUE), design = designad, mu=0.3, sigma = 1)
+
+
+evaluate_estimator(MSE(), SampleMean(), Student(FALSE), design = designad, mu=0.3, sigma = 1)
+evaluate_estimator(MSE(), MedianUnbiasedMLEOrdering(), Student(FALSE), design = designad, mu=0.3, sigma = 1)
+evaluate_estimator(MSE(), BiasReduced(), Student(FALSE), design = designad, mu=0.3, sigma = 1)