---
title: "Is OwenQ reliable?"
author: "Stéphane Laurent"
date: "`r Sys.Date()`"
output: 
  rmarkdown::html_vignette:
    toc: true
    number_sections: true
vignette: >
  %\VignetteIndexEntry{Validation}
  %\VignetteEngine{knitr::rmarkdown}
  %\VignetteEncoding{UTF-8}
---

```{r setup, include=FALSE}
knitr::opts_chunk$set(collapse=TRUE)
library(OwenQ)
```

# Purpose 

The purpose of this vignette is to assess the correctness of the functions of 
the `OwenQ` package. 

As said in the main vignette, the fourth Owen cumulative function $O_4$, 
implemented under the name `powen4` allows to evaluate the power of equivalence 
tests. This is perhaps the main application of the `OwenQ` package and we will 
particularly focus on this situation.

Our strategy runs as follows:

- To test the `OwenT` function, we will compare some values it returns to those 
returned by other implementations. Note that the other functions of the `OwenQ` 
package rely on `OwenT` when the number of degrees of freedom is odd. 
Therefore, by testing these other functions for an odd number of degrees of 
freedom, we implicitely test the `OwenT` function. 

- We will compare a couple of values returned by `OwenQ1` and `OwenQ2` to the 
values obtained by numerical integration in Wolfram|Alpha.

- We will test `powen4` by performing some power calculations relying on this 
function and comparing the results with the ones provided by SAS. We will also 
perform these  power calculations with the help of the `ipowen4` function, 
which evaluates the $O_4$ function by a powerful numerical integration, 
and we will compare the results. 

- These power calculations will be performed for $100$ different scenarios, and 
we will conclude that `powen4` is reliable for these scenarios. Then, to test 
the other functions of the `OwenQ` package, we will check that some 
mathematical relations hold for these $100$ scenarios.

The folder `tests/testthat` of the `OwenQ` package contains many comparisons 
with Wolfram|Alpha. The results we obtain with `OwenQ` are always the same as 
the ones obtained with Wolfram|Alpha up to a tolerance of at least $10$ decimal 
digits. 


# Owen $T$-function (`OwenT`)

The Owen $T$-function is implemented under the name `OwenT`. 
This is a port of the function `owens_t` of the C++ `special_functions` library 
included in the `boost` set of libraries. 
Some details about the C++ implementation are 
[available here](http://www.boost.org/doc/libs/1_61_0/libs/math/doc/html/math_toolkit/owens_t.html).

The libraries provided by `boost` are peer-reviewed, and this is enough to 
trust the reliability of `OwenT`. 
Nevertheless, below we compare the results of `OwenT` to the six values given 
in Patefield's article, up to $14$ decimal digits. We have also checked that 
Wolfram|Alpha gives these values. 

```{r}
testData <- data.frame(
  h = c(0.0625, 6.5, 7, 4.78125, 2, 1), 
  a = c(0.25, 0.4375, 0.96875, 0.0625, 0.5, 0.9999975),
  Patefield = c(3.8911930234701e-02, 2.0005773048508e-11, 6.3990627193899e-13, 1.0632974804687e-07, 8.6250779855215e-03, 6.6741808978229e-02),
  OwenT = numeric(6)
)
for(i in 1:nrow(testData)){
  testData$OwenT[i] <- OwenT(testData$h[i], testData$a[i])
}
print(testData, digits=14)
```

We get the same results with `OwenT`.


# Owen $Q$-functions: comparing a couple of values

The two Owen $Q$-functions $Q_1$ and $Q_2$ are defined by:
$$
Q_1(\nu, t, \delta, R) = 
\frac{1}{\Gamma\left(\frac{\nu}{2}\right)2^{\frac12(\nu-2)}}
\int_0^R \Phi\left(\frac{tx}{\sqrt{\nu}}-\delta\right)
x^{\nu-1} e^{-\frac{x^2}{2}} \mathrm{d}x
$$
and
$$
Q_2(\nu, t, \delta, R) = 
\frac{1}{\Gamma\left(\frac{\nu}{2}\right)2^{\frac12(\nu-2)}}
\int_R^\infty \Phi\left(\frac{tx}{\sqrt{\nu}}-\delta\right)
x^{\nu-1} e^{-\frac{x^2}{2}} \mathrm{d}x.
$$

They are implemented in the `OwenQ` package under the respective names `OwenQ1` 
and `OwenQ2`, for integer values of $\nu$, following Owen's algorithm (1965). 

In Wolfram|Alpha, these functions are not available, but we can evaluate them 
by numerical integration. 

Below we compare two values of `OwenQ1` to the ones returned by Wolfram|Alpha.

- $\nu=3$, $t=3$, $\delta=2$, $R=5$ ([link to Wolfram](http://www.wolframalpha.com/input/?i=NIntegrate%5B(1%2BErf%5B(3*x%2FSqrt%5B3%5D-2)%2FSqrt%5B2%5D%5D)*x%5E(3-1)*Exp%5B-x%5E2%2F2%5D,%7Bx,0,5%7D%5D%2F2%2FGamma%5B3%2F2%5D%2F2%5E((3-2)%2F2)))

```{r}
# wolfram: Integrate[(1+Erf[(3*x/Sqrt[3]-2)/Sqrt[2]])*x^(3-1)*Exp[-x^2/2],{x,0,5}]/2/Gamma[3/2]/2^((3-2)/2)
OwenQ1(3, 3, 2, 5)
```

![](wolfram_OwenQ1.png)

Our value rounded to $6$ digits is the same as the one given by Wolfram.

- $\nu=1000$, $t=3$, $\delta=2$, $R=30$ ([link to Wolfram](http://www.wolframalpha.com/input/?i=NIntegrate%5B(1%2BErf%5B(3*x%2FSqrt%5B1000%5D-2)%2FSqrt%5B2%5D%5D)*x%5E(1000-1)*Exp%5B-x%5E2%2F2%5D,%7Bx,0,30%7D%5D%2F2%2FGamma%5B1000%2F2%5D%2F2%5E((1000-2)%2F2)))

```{r}
# wolfram: Integrate[(1+Erf[(3*x/Sqrt[1000]-2)/Sqrt[2]])*x^(1000-1)*Exp[-x^2/2],{x,0,30}]/2/Gamma[1000/2]/2^((1000-2)/2)
print(OwenQ1(1000, 3, 2, 30), digits=16)
```

![](wolfram_OwenQ1_1000.png)

The two values are the same up to $13$ digits. 

<br/> 

Now we compare two values of `OwenQ2` to the ones returned by Wolfram|Alpha.

- $\nu=3$, $t=3$, $\delta=2$, $R=5$ ([link to Wolfram](http://www.wolframalpha.com/input/?i=NIntegrate%5B(1%2BErf%5B(3*x%2FSqrt%5B3%5D-2)%2FSqrt%5B2%5D%5D)*x%5E(3-1)*Exp%5B-x%5E2%2F2%5D,%7Bx,5,Infinity%7D%5D%2F2%2FGamma%5B3%2F2%5D%2F2%5E((3-2)%2F2)))

```{r}
# wolfram: Integrate[(1+Erf[(3*x/Sqrt[3]-2)/Sqrt[2]])*x^(3-1)*Exp[-x^2/2],{x,5,Infinity}]/2/Gamma[3/2]/2^((3-2)/2)
OwenQ2(3, 3, 2, 5)
```

![](wolfram_OwenQ2.png)

The two values are identical.

- $\nu=1000$, $t=3$, $\delta=2$, $R=5$ ([link To Wolfram](http://www.wolframalpha.com/input/?i=NIntegrate%5B(1%2BErf%5B(3*x%2FSqrt%5B1000%5D-2)%2FSqrt%5B2%5D%5D)*x%5E(1000-1)*Exp%5B-x%5E2%2F2%5D,%7Bx,5,Infinity%7D%5D%2F2%2FGamma%5B1000%2F2%5D%2F2%5E((1000-2)%2F2)))

```{r}
# wolfram: Integrate[(1+Erf[(3*x/Sqrt[1000]-2)/Sqrt[2]])*x^(1000-1)*Exp[-x^2/2],{x,5,Infinity}]/2/Gamma[1000/2]/2^((1000-2)/2)
print(OwenQ2(1000, 3, 2, 5), digits=16)
```

![](wolfram_OwenQ2_1000.png)

The two values are identical up to $13$ digits. 


# Fourth Owen cumulative function $O_4$ (`powen4`)

As seen in the other vignette, the fourth Owen cumulative function $O_4$, 
implemented under the name `powen4`, can be used to evaluate the power of 
equivalence tests. 

The `powerTOST` function below returns the power of the equivalence test for a 
so-called parallel design with equal variances, when considering the 
alternative hypothesis $H_1\colon\{-\Delta < \delta_0 < \Delta \}$, 
where $\delta_0$ denotes the difference between the two means. 
This function takes as arguments the significance level $\alpha$, the 
difference $\delta_0$ between the two means, the threshold $\Delta$, the common 
standard deviation $\sigma$ of the two samples, and the two sample sizes $n_1$ 
and $n_2$. 

```{r}
powerTOST <- function(alpha, delta0, Delta, sigma, n1, n2, algo=2) {
  se <- sqrt(1/n1 + 1/n2) * sigma
  delta1 <- (delta0 + Delta) / se
  delta2 <- (delta0 - Delta) / se
  dof <- n1 + n2 - 2
  q <- qt(1 - alpha, dof)
  powen4(dof, q, -q, delta1, delta2, algo=algo)
}
```

As you can see, the `powen4` function has an argument `algo`. This is also the 
case for the other Owen functions, except for `ptOwen`. 
The `algo` argument can take two values, `1` or `2`. 
Th default value is `algo=2`, and as we will see later, the evaluation is more 
reliable with this option. 
The value of `algo` corresponds to a small difference in the algorithm. 
With `algo=1`, the evaluation is a bit faster. And we will see that `powerTOST`  
is reliable for `algo=1` when the value of `n1+n2` is not too large.

## Comparisons with SAS

```{r echo=FALSE}
SAS <- structure(list(alpha = c(0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 
0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 
0.01, 0.01, 0.01, 0.01, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 
0.05, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 
0.05, 0.05, 0.01, 0.01, 0.05, 0.05), delta0 = c(0, 0, 0, 0, 0, 
0.1, 0.1, 0.1, 0.1, 0.1, 0.2, 0.2, 0.2, 0.2, 0.2, 0.3, 0.3, 0.3, 
0.3, 0.3, 0.4, 0.4, 0.4, 0.4, 0.4, 0.5, 0.5, 0.5, 0.5, 0.5, 0, 
0, 0, 0, 0, 0.1, 0.1, 0.1, 0.1, 0.1, 0.2, 0.2, 0.2, 0.2, 0.2, 
0.3, 0.3, 0.3, 0.3, 0.3, 0.4, 0.4, 0.4, 0.4, 0.4, 0.5, 0.5, 0.5, 
0.5, 0.5, 0, 1, 2, 2.5, 0, 1, 2, 2.5, 0, 1, 2, 3, 0, 1, 2, 3, 
0, 1, 2, 3, 0, 1, 2, 3, 0, 1, 2, 3, 0, 1, 2, 3, 0, 4, 0, 4, 0, 
4, 0, 4), Delta = c(1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 
1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 
1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 
1, 1, 1, 1, 3, 3, 3, 3, 4, 4, 4, 4, 4, 4, 4, 4, 4, 4, 4, 4, 4, 
4, 4, 4, 4, 4, 4, 4, 4, 4, 4, 4, 4, 4, 4, 4, 5, 5, 5, 5, 5, 5, 
5, 5), sigma = c(1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 
1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 
1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 
1, 1, 1, 4, 4, 4, 4, 4, 4, 4, 4, 7, 7, 7, 7, 7, 7, 7, 7, 4, 4, 
4, 4, 8, 8, 8, 8, 10, 10, 10, 10, 14, 14, 14, 14, 35, 35, 30, 
50, 6, 6, 9, 9), n1 = c(10, 15, 20, 25, 30, 10, 15, 20, 25, 30, 
10, 15, 20, 25, 30, 10, 15, 20, 25, 30, 10, 15, 20, 25, 30, 10, 
15, 20, 25, 30, 10, 15, 20, 25, 30, 10, 15, 20, 25, 30, 10, 15, 
20, 25, 30, 10, 15, 20, 25, 30, 10, 15, 20, 25, 30, 10, 15, 20, 
25, 30, 50, 50, 50, 50, 10, 10, 10, 10, 100, 100, 100, 100, 100, 
100, 100, 100, 185, 185, 185, 185, 185, 185, 185, 185, 250, 250, 
250, 250, 500, 500, 500, 500, 600, 600, 600, 600, 1190, 1190, 
1190, 1190), n2 = c(10, 15, 20, 25, 30, 10, 15, 20, 25, 30, 10, 
15, 20, 25, 30, 10, 15, 20, 25, 30, 10, 15, 20, 25, 30, 10, 15, 
20, 25, 30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 
30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 30, 
30, 50, 50, 50, 50, 90, 90, 90, 90, 100, 100, 100, 100, 100, 
100, 100, 100, 10, 10, 10, 10, 100, 100, 100, 100, 250, 250, 
250, 250, 500, 500, 500, 500, 600, 600, 600, 600, 10, 10, 10, 
10), powerPASS = c(0.3909, 0.6954, 0.8558, 0.9343, 0.9709, 0.3827, 
0.6784, 0.8366, 0.9178, 0.9589, 0.3591, 0.6295, 0.7807, 0.868, 
0.9202, 0.3229, 0.5554, 0.6932, 0.7847, 0.8491, 0.2782, 0.4653, 
0.5831, 0.6717, 0.7426, 0.2297, 0.3697, 0.4621, 0.5388, 0.606, 
0.7037, 0.8576, 0.9232, 0.9545, 0.9709, 0.6865, 0.8385, 0.906, 
0.94, 0.9589, 0.637, 0.7826, 0.8544, 0.895, 0.9202, 0.5619, 0.695, 
0.7694, 0.8168, 0.8491, 0.4706, 0.5847, 0.6561, 0.7059, 0.7426, 
0.3736, 0.4634, 0.5247, 0.5705, 0.606, 0.9624, 0.7985, 0.3433, 
0.1529, 0.8179, 0.7035, 0.436, 0.2982, 0.9828, 0.9151, 0.6438, 
0.2617, 0.9083, 0.7492, 0.3744, 0.0929, 0.8457, 0.7303, 0.4546, 
0.19, 0.9824, 0.9142, 0.6423, 0.261, 0.9671, 0.8452, 0.4616, 
0.1129, 0.9714, 0.8552, 0.4733, 0.1161, 0.1179, 0.0169, 0.7856, 
0.0268, 0.2343, 0.0277, 0.0836, 0.0315), powerSAS = c(0.39094, 
0.69541, 0.8558, 0.93426, 0.97092, 0.38272, 0.67836, 0.83661, 
0.91781, 0.95889, 0.35908, 0.62954, 0.78069, 0.86796, 0.92017, 
0.32287, 0.5554, 0.69322, 0.78471, 0.84909, 0.2782, 0.46531, 
0.58306, 0.67174, 0.7426, 0.2297, 0.36967, 0.46208, 0.53883, 
0.606, 0.70373, 0.85764, 0.92324, 0.95452, 0.97092, 0.68648, 
0.83846, 0.90604, 0.94003, 0.95889, 0.63703, 0.78255, 0.85439, 
0.89501, 0.92017, 0.56192, 0.69503, 0.76944, 0.81676, 0.84909, 
0.47061, 0.5847, 0.6561, 0.70594, 0.7426, 0.37365, 0.46343, 0.52475, 
0.57052, 0.606, 0.96239, 0.79849, 0.34329, 0.15288, 0.81791, 
0.70346, 0.43595, 0.29819, 0.98278, 0.91512, 0.64376, 0.26169, 
0.90831, 0.74924, 0.37443, 0.0929, 0.84568, 0.73025, 0.45459, 
0.19001, 0.9824, 0.91417, 0.64226, 0.26103, 0.96713, 0.84523, 
0.46161, 0.11288, 0.97112, 0.85433, 0.47184, 0.11536, 0.11547, 
0.01658, 0.78512, 0.02642, 0.23194, 0.02739, 0.08256, 0.03115
)), .Names = c("alpha", "delta0", "Delta", "sigma", "n1", "n2", 
"powerPASS", "powerSAS"), class = "data.frame", row.names = c(NA, 
-100L))
SAS <- SAS[,-7]
```

The table shown below contains $100$ results of power calculations with SAS 
version 9.4, for a total sample size $n_1+n_2$ going from $20$ to $1200$. 
The results are rounded to $5$ decimal digits. 

```{r, echo=FALSE}
knitr::kable(SAS, row.names = TRUE)
```

This table is stored in a dataframe named `SAS`. 
We compare the SAS values to the ones obtained by our `powerTOST` function.

```{r}
power <- numeric(nrow(SAS))
for (i in 1:nrow(SAS)) {
  power[i] <-
    powerTOST(
      alpha = SAS$alpha[i],
      delta0 = SAS$delta0[i],
      Delta = SAS$Delta[i],
      sigma = SAS$sigma[i],
      n1 = SAS$n1[i],
      n2 = SAS$n2[i]
    )
}
```

Rounding our values to $5$ decimal digits, we find that our results are 
identical to the SAS results:

```{r}
identical(round(power,5), SAS$powerSAS)
```

With the option `algo=1`, the results are identical as well:

```{r}
power <- numeric(nrow(SAS))
for (i in 1:nrow(SAS)) {
  power[i] <-
    powerTOST(
      alpha = SAS$alpha[i],
      delta0 = SAS$delta0[i],
      Delta = SAS$Delta[i],
      sigma = SAS$sigma[i],
      n1 = SAS$n1[i],
      n2 = SAS$n2[i],
      algo = 1
    )
}
identical(round(power,5), SAS$powerSAS)
```


<!-- In the next section, we will see that we get the same results as the ones of `powen4` with another, totally different implementation of $O_4$. -->


## Comparison with numerical integration 

The `ipowen4` internal function of the `OwenQ` package evaluates the fourth 
Owen cumulative function $O_4$ by a powerful numerical integration implemented 
in C++ (with the package `RcppNumerical`). 
Thus we have two completely different implementations of $O_4$. 
The `ipowerTOST` function below is obtained by replacing `powen4` with 
`ipowen4` in `powerTOST`. We will compare the results of `powerTOST` with the 
ones of `ipowerTOST`.

```{r}
ipowerTOST <- function(alpha, delta0, Delta, sigma, n1, n2) {
  se <- sqrt(1/n1 + 1/n2) * sigma
  delta1 <- (delta0 + Delta) / se
  delta2 <- (delta0 - Delta) / se
  dof <- n1 + n2 - 2
  q <- qt(1 - alpha, dof)
  OwenQ:::ipowen4(dof, q, -q, delta1, delta2)
}
```

### Failures and successes of `powen4`

- For $n_1=n_2=1000$, $\alpha=0.05$, $\delta=0$, $\Delta=5$, the `powen4` 
function with the option `algo=1` abnormally takes some negative values:

```{r, echo=FALSE, fig.width=8, fig.height=4}
oldpar <- par(mar=c(4,4,0.4,0.4))
layout(t(c(1,2)))
sigma <- seq(65,69,len=100)
n1 <- 1000; n2 <- 1000
plot(sigma, powerTOST(0.05, 0, 5, sigma, n1, n2), type="l", lwd=2, 
     xlab=expression(sigma), ylab="power")
y <- sapply(sigma, function(sigma) ipowerTOST(0.05, 0, 5, sigma, n1, n2))
lines(sigma, y, col="blue", lwd=2)
y <- sapply(sigma, function(sigma) powerTOST(0.05, 0, 5, sigma, n1, n2, algo=1))
lines(sigma, y, col="red", lwd=2)
abline(h=0, col="green", lty=2)
legend("topright", c("powen4 - 1", "powen4 - 2", "ipowen4"), 
       lty=c(1,1,1), col=c("red", "black", "blue"))
sigma <- seq(15,69,len=100)
plot(sigma, powerTOST(0.05, 0, 5, sigma, n1, n2), type="l", lwd=2, 
     xlab=expression(sigma), ylab="power")
y <- sapply(sigma, function(sigma) ipowerTOST(0.05, 0, 5, sigma, n1, n2))
lines(sigma, y, col="blue", lwd=2)
y <- sapply(sigma, function(sigma) powerTOST(0.05, 0, 5, sigma, n1, n2, algo=1))
lines(sigma, y, col="red", lwd=2)
abline(h=0, col="green", lty=2)
legend("topright", c("powen4 - 1", "powen4 - 2", "ipowen4"), 
       lty=c(1,1,1), col=c("red", "black", "blue"))
par(oldpar)
```

Note that the discrepancy between `powen4` and `ipowen4` occurs only for 
$\sigma > 65$. 

- For $n_1=n_2=720$, $\alpha=0.05$, $\delta=0$, $\Delta=5$, we observe a 
discrepancy between `powen4` with the option `algo=1` and `ipowen4`: 

```{r, echo=FALSE, fig.width=4, fig.height=4}
oldpar <- par(mar=c(4,4,0.4,0.4))
n1 <- n2 <- 720
sigma <- seq(56,57,len=100)
plot(sigma, powerTOST(0.05, 0, 5, sigma, n1, n2), type="l", lwd=2, 
     xlab=expression(sigma), ylab="power")
y <- sapply(sigma, function(sigma) ipowerTOST(0.05, 0, 5, sigma, n1, n2))
lines(sigma, y, col="blue", lwd=2)
y <- sapply(sigma, function(sigma) powerTOST(0.05, 0, 5, sigma, n1, n2, algo=1))
lines(sigma, y, col="red", lwd=2)
legend("topright", c("powen4 - 1", "powen4 - 2", "ipowen4"), 
       lty=c(1,1,1), col=c("red", "black", "blue"))
par(oldpar)
```

There is no discrepancy between `powen4` with the option `algo=2` and `ipowen4`. 
The irregularity of `powen4` with the option `algo=1` suggests that it returns 
wrong values.

- For $n_1=n_2=700$, $\alpha=0.01$, $\delta=0$, $\Delta=5$, we still observe a 
small discrepancy between `powen4` with the option `algo=1` and `ipowen4`, and 
we still observe an irregularity of `powen4` (on the second figure below):

```{r, echo=FALSE, fig.width=8, fig.height=4}
oldpar <- par(mar=c(4, 4, 0.2, 0.2))
layout(t(c(1,2)))
n1 <- n2 <- 700
sigma <- seq(35,45,len=100)
plot(sigma, powerTOST(0.01, 1, 5, sigma, n1, n2), type="l", lwd=2, 
     xlab=expression(sigma), ylab="power")
y <- sapply(sigma, function(sigma) ipowerTOST(0.01, 1, 5, sigma, n1, n2))
lines(sigma, y, col="blue", lwd=2)
y <- sapply(sigma, function(sigma) powerTOST(0.05, 0, 5, sigma, n1, n2, algo=1))
lines(sigma, y, col="red", lwd=2)
legend("topright", c("powen4 - 1", "powen4 - 2", "ipowen4"), 
       lty=c(1,1,1), col=c("red", "black", "blue"))
n1 <- n2 <- 700
sigma <- seq(38.5,39,len=100)
plot(sigma, powerTOST(0.01, 1, 5, sigma, n1, n2), type="l", lwd=2, 
     xlab=expression(sigma), ylab="power")
y <- sapply(sigma, function(sigma) ipowerTOST(0.01, 1, 5, sigma, n1, n2))
lines(sigma, y, col="blue", lwd=2)
y <- sapply(sigma, function(sigma) powerTOST(0.05, 0, 5, sigma, n1, n2, algo=1))
lines(sigma, y, col="red", lwd=2)
legend("topright", c("powen4 - 1", "powen4 - 2", "ipowen4"), 
       lty=c(1,1,1), col=c("red", "black", "blue"))
par(oldpar)
```

With the option `algo=2`, the results of `powen4` coincide with the ones of 
`ipowen4`.

- For $n_1 = n_2 = 600$, $\alpha=0.005$, $\delta=0$, $\Delta=5$, we do not 
observe any discrepancy between `powen4` and `ipowen4`: 

```{r, echo=FALSE, fig.width=4, fig.height=4}
oldpar <- par(mar=c(4, 4, 0.7, 0.2))
n1 <- n2 <- 600
sigma <- seq(30,36,len=100)
plot(sigma, powerTOST(0.005, 0, 5, sigma, n1, n2), type="l", lwd=2, 
     xlab=expression(sigma), ylab="power")
y <- sapply(sigma, function(sigma) ipowerTOST(0.005, 0, 5, sigma, n1, n2))
lines(sigma, y, pch=19, col="blue", lwd=2)
y <- sapply(sigma, function(sigma) powerTOST(0.05, 0, 5, sigma, n1, n2, algo=1))
lines(sigma, y, col="red", lwd=2)
legend("topright", c("powen4 - 1", "powen4 - 2", "ipowen4"), 
       lty=c(1,1,1), col=c("red", "black", "blue"))
par(oldpar)
```

We conclude that `powen4` with the option `algo=1` is not reliable when the 
number of degrees of freedom is too large. 
As said before, the interest of the option `algo=1` is that the evaluation is 
faster.

For $n_1=n_2=2500$, the results of `powerTOST` with `algo=2` still coincide 
with the result of `ipowerTOST`:

```{r}
alpha <- 0.05; delta0 <- 0; Delta <- 5
sigma <- 110
n1 <- n2 <- 2500
powerTOST(alpha, delta0, Delta, sigma, n1, n2)
ipowerTOST(alpha, delta0, Delta, sigma, n1, n2)
```

And even for $n_1=n_2=5000$: 

```{r}
sigma <- 152
n1 <- n2 <- 5000
powerTOST(alpha, delta0, Delta, sigma, n1, n2)
ipowerTOST(alpha, delta0, Delta, sigma, n1, n2)
```

### Comparisons for $n_1+n_2 \leq 1200$

Below we compare the results returned by `powerTOST` to the ones returned by 
`ipowerTOST` for the parameters given in the `SAS` dataset.

```{r}
power <- ipower <- numeric(nrow(SAS))
for (i in 1:nrow(SAS)) {
  power[i] <-
    powerTOST(
      alpha = SAS$alpha[i],
      delta0 = SAS$delta0[i],
      Delta = SAS$Delta[i],
      sigma = SAS$sigma[i],
      n1 = SAS$n1[i],
      n2 = SAS$n2[i]
    )
  ipower[i] <-
    ipowerTOST(
      alpha = SAS$alpha[i],
      delta0 = SAS$delta0[i],
      Delta = SAS$Delta[i],
      sigma = SAS$sigma[i],
      n1 = SAS$n1[i],
      n2 = SAS$n2[i]
    )
}
identical(round(power, 10), round(ipower, 10))
```

Results are the same up to $10$ digits. 
And also with the option `algo=1`:

```{r}
power <- numeric(nrow(SAS))
for (i in 1:nrow(SAS)) {
  power[i] <-
    powerTOST(
      alpha = SAS$alpha[i],
      delta0 = SAS$delta0[i],
      Delta = SAS$Delta[i],
      sigma = SAS$sigma[i],
      n1 = SAS$n1[i],
      n2 = SAS$n2[i], 
      algo = 1
    )
}
identical(round(power, 10), round(ipower, 10))
```

## Conclusion 

- The `powen4` function with option `algo=1` seems to return correct values for 
$\nu \leq 1200$. 

- The `powen4` function with option `algo=2` allows higher values of $\nu$.  

- In any case, we recommend to compare the result of `powen4` with the one of 
`ipowen4`. 


# Other Owen cumulative functions

We previously validated the `powen4` function for the $100$ scenarios of the 
dataset `SAS`. 

Now we test the functions `powen1`, `powen2` and `powen3` by checking the 
equality
$$
O_1(\nu, t_1, t_2, \delta_1, \delta_2) + O_2(\nu, t_1, t_2, \delta_1, \delta_2) 
+ 
O_3(\nu, t_1, t_2, \delta_1, \delta_2) + O_4(\nu, t_1, t_2, \delta_1, \delta_2) 
= 1.
$$

We restrict our attention to default setting `algo=2`. 
We check the above equality for the $100$ scenarios of the dataset `SAS`.

```{r}
f <- function(alpha, delta0, Delta, sigma, n1, n2) {
  se <- sqrt(1/n1 + 1/n2) * sigma
  delta1 <- (delta0 + Delta) / se
  delta2 <- (delta0 - Delta) / se
  dof <- n1 + n2 - 2
  q <- qt(1 - alpha, dof)
  powen1(dof, q,-q, delta1, delta2) + powen2(dof, q,-q, delta1, delta2) + 
    powen3(dof, q,-q, delta1, delta2) + powen4(dof, q,-q, delta1, delta2)
}
test <- numeric(nrow(SAS))
for (i in 1:nrow(SAS)) {
  test[i] <-
    f(
      alpha = SAS$alpha[i],
      delta0 = SAS$delta0[i],
      Delta = SAS$Delta[i],
      sigma = SAS$sigma[i],
      n1 = SAS$n1[i],
      n2 = SAS$n2[i]
    )
}
all(abs(test-1) < 1e-14)
```

We find that each of the $100$ sums is equal to $1$ up to a tolerance of $14$ 
digits.


# First Owen $Q$-function $Q_1$ (`OwenQ1`) 

We previously validated the `powen4` function (implementation of the fourth 
Owen cumulative function $O_4$) for the $100$ scenarios of the dataset `SAS`.  
Now, to test `OwenQ1`, we will use the following equality:

$$
O_4(\nu, t_1, t_2, \delta_1, \delta_2) = 
Q_1\left(\nu, t_2, \delta_2, 
         \frac{\sqrt{\nu}(\delta_1-\delta_2)}{t_1-t_2}\right)
- Q_1\left(\nu, t_1, \delta_1, 
           \frac{\sqrt{\nu}(\delta_1-\delta_2)}{t_1-t_2}\right).
$$

We use this formula to perform the power calculations with `OwenQ1` instead of 
`powen4`.

```{r}
powerTOST2 <- function(alpha, delta0, Delta, sigma, n1, n2) {
  se <- sqrt(1/n1 + 1/n2) * sigma
  delta1 <- (delta0 + Delta) / se
  delta2 <- (delta0 - Delta) / se
  dof <- n1 + n2 - 2
  q <- qt(1 - alpha, dof)
  R <- sqrt(dof)*(delta1 - delta2)/q/2
  OwenQ1(dof, -q, delta2, R) - OwenQ1(dof, q, delta1, R)
}
power2 <- numeric(nrow(SAS))
for (i in 1:nrow(SAS)) {
  power2[i] <-
    powerTOST2(
      alpha = SAS$alpha[i],
      delta0 = SAS$delta0[i],
      Delta = SAS$Delta[i],
      sigma = SAS$sigma[i],
      n1 = SAS$n1[i],
      n2 = SAS$n2[i]
    )
}
identical(round(power, 14), round(power2, 14))
```

The values rounded to $14$ digits are the same as the ones we previously 
obtained with `powen4`.


# Second Owen $Q$-function $Q_2$ (`OwenQ2`)

We previously validated `powen2` for the $100$ scenarios of the dataset `SAS`. 
Now we test the `OwenQ2` function by checking the equality
$$
O_2(\nu, t_1, t_2, \delta_1, \delta_2) = 
Q_2\left(\nu, t_1, \delta_1, 
         \frac{\sqrt{\nu}(\delta_1-\delta_2)}{t_1-t_2}\right)
- Q_2\left(\nu, t_2, \delta_2, 
           \frac{\sqrt{\nu}(\delta_1-\delta_2)}{t_1-t_2}\right).
$$

We check this equality for the $100$ scenarios of the dataset `SAS`.

```{r}
g <- function(alpha, delta0, Delta, sigma, n1, n2) {
  se <- sqrt(1/n1 + 1/n2) * sigma
  delta1 <- (delta0 + Delta) / se
  delta2 <- (delta0 - Delta) / se
  dof <- n1 + n2 - 2
  q <- qt(1 - alpha, dof)
  R <- sqrt(dof)*(delta1 - delta2)/q/2
  x <- OwenQ2(dof, q, delta1, R) - OwenQ2(dof, -q, delta2, R)
  y <- powen2(dof, q, -q, delta1, delta2)
  x - y
}
test <- numeric(nrow(SAS))
for (i in 1:nrow(SAS)) {
  test[i] <-
    g(
      alpha = SAS$alpha[i],
      delta0 = SAS$delta0[i],
      Delta = SAS$Delta[i],
      sigma = SAS$sigma[i],
      n1 = SAS$n1[i],
      n2 = SAS$n2[i]
    )
}
all(abs(test) < 1e-15)
```

We find that each of the $100$ equalities hold true up to a tolerance of $15$ 
digits.


# Student cumulative distribution function (`ptOwen`)

We finally test `ptOwen`, the implementation of the cumulative distribution 
function of the noncentral Student distribution.  
If $T_1$ follows the noncentral Student distribution with number of degrees of 
freedom $\nu$ and noncentrality parameter $\delta_1$, then for any $t_1$ the 
equality 
$$
\Pr(T_1 \leq t_1) = O_1(\nu, t_1, t_2, \delta_1, \delta_2) + O_2(\nu, t_1, t_2, \delta_1, \delta_2)
$$
holds for any $t_2$ and $\delta_2$.
We check this equality for the $100$ scenarios of the dataset `SAS`. 

```{r}
h <- function(alpha, delta0, Delta, sigma, n1, n2) {
  se <- sqrt(1/n1 + 1/n2) * sigma
  delta1 <- (delta0 + Delta) / se
  delta2 <- (delta0 - Delta) / se
  dof <- n1 + n2 - 2
  q <- qt(1 - alpha, dof)
  x <- ptOwen(q, dof, delta1)
  y <- powen1(dof, q, -q, delta1, delta2) + powen2(dof, q, -q, delta1, delta2)
  x - y
}
test <- numeric(nrow(SAS))
for (i in 1:nrow(SAS)) {
  test[i] <-
    h(
      alpha = SAS$alpha[i],
      delta0 = SAS$delta0[i],
      Delta = SAS$Delta[i],
      sigma = SAS$sigma[i],
      n1 = SAS$n1[i],
      n2 = SAS$n2[i]
    )
}
all(abs(test) < 1e-15)
```

For each scenario, the equality holds up to a tolerance of $15$ digits. 


# References 

   - Patefield, M. (2000). *Fast and Accurate Calculation of Owen's T Function.* Journal of Statistical Software 5 (5), 1-25.

   - Owen, D. B. (1965). *A special case of a bivariate noncentral t-distribution.* Biometrika 52, 437-446.

   - Wolfram Alpha LLC. 2017. Wolfram|Alpha. (access July 17, 2017).
