An extreme quantile of the geometric distribution

Hi,

I'm sorry, I do not clearly understand.

I'm aware that the source is available at :

http://svn.r-project.org/R/trunk/src/nmath/qgeom.c
Yes, but you were suggesting that non-use of log1p caused the problem, and the source clearly uses it, so I assumed that you didn't check.
But a good source does not mean a correct result, because of compilation issues. Moreover, I do not fully understand why the 1e-7 coefficient in the formula was put there. The comment "add a fuzz to ensure left continuity" is not obvious to me.
I never implied that there wasn't a problem.

The gist of the comment it is that we want to ensure that (for moderate i at least)

qgeom(pgeom(i,.1),.1)==i

and that slightly lower values should also give i, whereas higher values give i+1:
qgeom(pgeom(1,.1),.1)
[1] 1
qgeom(pgeom(1,.1)-.01,.1)
[1] 1
qgeom(pgeom(1,.1)+.01,.1)
[1] 2

However, floating point calculations being what they are, we don't trust equality, so we move the cutpoint a little -- apparently a little too much.
Best regards,

Micha?l

On Fri, 29 Jun 2012 14:21:50 +0200, peter dalgaard <pdalgd at gmail.com> wrote:
On Jun 28, 2012, at 22:49 , <michael.baudin at contrib.scilab.org>
<michael.baudin at contrib.scilab.org> wrote:

Hi,

With R version 2.10.0 (2009-10-26) on Windows, I computed the p=1.e-20 quantile of the geometric distribution with parameter prob=0.1.

qgeom(1.e-20,0.1)
[1] -1

But this is not possible, since X=0,1,2,...

I guess that this might be a bug in the quantile function, which should use the log1p function, instead of the naive formula.

Am I correct ?
Nope. (The source is availably, you know....).

The problem is that a slight fuzz is subtracted inside ceil(....),
but there's no check that the result is positive.

qnbinom(...., size=1) is equivalent and does get right, by the way.

-pd

Best regards,

Micha?l

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An extreme quantile of the geometric distribution

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