st: New version of -somersd- on SSC

["Roger B. Newson" <r.newson@imperial.ac.uk>]

Thanks once again to Kit Baum, a new version of the -somersd- package is 
now available for download from SSC. In Stata, use the -ssc- command to 
do this, or -adoupdate- if you already have an old version of -somersd-.

The -somersd- package is described as below on my website. The new 
version has an improved version of the -cendif- module, which estimates 
median and other percentile differences between 2 groups of 
observations. -cendif- now estimates the 0th and 100th percentile 
differences, as well as the percentile differences in between. I have 
also added code to make -cendif- fail if any of the individual pairwise 
differences are missing, as happens in the case of value overflow. And I 
have tidied up the code to make -cendif- more efficient. In particular, 
if the user uses the module -sccendif- of the -scsomersd- package (a 
front end for -cendif-) to estimate percentiles (as distinct from 
percentile differences), then the computational time will now be linear 
in the number of observations, not quadratic in the number of 
observations as below.

So, if the user types

sysuse auto, clear
gene firm=word(make,1)
sccendif price 0, ce(0(5)100) tdist cluster(firm)

then -sccendif- will use -cendif- to produce a list of percentiles of 
-price- from the 0th by 5 percent to the 100th, with confidence limits 
estimated assuming that we are sampling car firms from a population of 
car firms, instead of sampling car models from a population of car 
models. And the time taken to produce these confidence intervals will be 
linear in the number of observations, not quadratic in the number of 
observations as before, which can be important if the user wants to 
calculate confidence intervals for percentiles (weighted and/or 
clustered) in large datasets. This should make -sccendif- a lot faster 
at calculating confidence intervals for percentiles than -sccenslope-, 
even in large datasets.

Ideally, I would have re-written -cendif- mostly in Mata, which would 
have made it even more efficient. However, I do not at present have the 
time, so I hope to revisit this issue when I do.

I would like to thank Bill Gould for the very helpful clarification that 
he gave yesterday about Stata missing values, the Stata real line, and 
the behavior of Stata when computations produce an overflowing value, in 
response to my query about these issues arising from work on -cendif-.

Best wishes

Roger


--
Roger B Newson BSc MSc DPhil
Lecturer in Medical Statistics
Respiratory Epidemiology and Public Health Group
National Heart and Lung Institute
Imperial College London
Royal Brompton Campus
Room 33, Emmanuel Kaye Building
1B Manresa Road
London SW3 6LR
UNITED KINGDOM
Tel: +44 (0)20 7352 8121 ext 3381
Fax: +44 (0)20 7351 8322
Email: r.newson@imperial.ac.uk
Web page: http://www.imperial.ac.uk/nhli/r.newson/
Departmental Web page:
http://www1.imperial.ac.uk/medicine/about/divisions/nhli/respiration/popgenetics/reph/

Opinions expressed are those of the author, not of the institution.

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package somersd from http://www.imperial.ac.uk/nhli/r.newson/stata10
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TITLE
      somersd: Kendall's tau-a, Somers' D and percentile slopes

DESCRIPTION/AUTHOR(S)
      The somersd package contains the programs somersd, censlope and 
cendif,
      which calculate confidence intervals for a range of parameters behind
      rank or "nonparametric" statistics. somersd calculates confidence
      intervals for generalized Kendall's tau-a or Somers' D parameters,
      and stores the estimates and their covariance matrix as 
estimation results.
      It can be used on left-censored, right-censored, clustered and/or
      stratified data. censlope is an extended version of somersd, 
which also
      calculates confidence limits for the generalized Theil-Sen median 
slopes
      (or other percentile slopes) corresponding to the version of 
Somers' D
      or Kendall's tau-a estimated. cendif is an easy-to-use program to
      calculate confidence intervals for Hodges-Lehmann median differences
      (or other percentile differences) between two groups. The somersd 
package
      can be used to calculate confidence intervals for a wide range of
      rank-based parameters, which are special cases of Kendall's tau-a,
      Somers' D or percentile slopes. These parameters include differences
      between proportions, Harrell's c index, areas under receiver 
operating
      characteristic (ROC) curves, differences between Harrell's c 
indices or
      ROC areas, Gini coefficients, population attributable risks, median
      differences, ratios, slopes and per-unit ratios, and the parameters
      behind the sign test and the Wilcoxon-Mann-Whitney or Breslow-Gehan
      ranksum tests. Full documentation of the programs (including 
methods and
      formulas) can be found in the manual files somersd.pdf, 
censlope.pdf and
      cendif.pdf, which can be viewed using the Adobe Acrobat Reader.

      Author: Roger Newson
      Distribution-date: 28february2012
      Stata-version: 10


INSTALLATION FILES                                  (click here to install)
      cendif.ado
      censlope.ado
      somers_p.ado
      somersd.ado
      _bcsf_bisect.mata
      _bcsf_bracketing.mata
      _bcsf_regula.mata
      _bcsf_ridders.mata
      _blncdtree.mata
      _somdtransf.mata
      _u2jackpseud.mata
      _v2jackpseud.mata
      blncdtree.mata
      tidot.mata
      tidottree.mata
      lsomersd.mlib
      cendif.sthlp
      censlope.sthlp
      censlope_iteration.sthlp
      mf_bcsf_bracketing.sthlp
      mf_blncdtree.sthlp
      mf_somdtransf.sthlp
      mf_u2jackpseud.sthlp
      somersd.sthlp
      somersd_mata.sthlp

ANCILLARY FILES                                     (click here to get)
      cendif.pdf
      censlope.pdf
      somersd.pdf
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