Source code for statinf.stats.tests

import numpy as np
import math
import warnings
from scipy import stats as scp

from . import descriptive as desc
from ..misc import test_summary, format_object


# One sample Student test
[docs]def ttest(x, mu=0, alpha=0.05, is_bernoulli=False, two_sided=True, return_tuple=False): """One sample Student's test. In the two-sided setup, we aim at testing: .. math:: H_{0}: \\bar{X} = \\mu \\text{ against } H_{1}: \\bar{X} \\neq \\mu The one-sided setup tests :math:`H_{0}: \\bar{X} \\leq \\mu` against :math:`H_{0}: \\bar{X} > \\mu`. The p-value is computed as: .. math:: \\mathbb{P}(|Z| \\geq |t| \\mid H_{0} \\text{ holds}) with, under :math:`H_{0}`: .. math:: t = \\dfrac{\\bar{X}_{1} - \\mu }{ \\dfrac{s}{\\sqrt{n}} } \\sim \\mathcal{N}(0, 1) if :math:`s = \\mathbb{V}(\\mathbf{X})` is known or if :math:`n \\gg 30`, otherwise :math:`t \\sim \\mathcal{T}_{n - 1}`, a Student distribution with :math:`n-1` degrees of freedom. In case of a bernoulli distribution, then :math:`s = \\mu(1 - \\mu)`. :param x: Input variable. Format can be :obj:`numpy.array`, :obj:`list` or :obj:`pandas.Series`. :type x: :obj:`numpy.array` :param mu: Theoretical mean to be evaluated in the null hypothesis, defaults to 0. :type mu: :obj:`int`, optional :param alpha: Confidence level, defaults to 0.05. :type alpha: :obj:`float`, optional :param is_bernoulli: Input value follows a Bernoulli distribution, i.e. :math:`\\mathbf{X} \\sim \\mathcal{B}(p)` with :math:`p \\in [0, 1]`, defaults to False. :type is_bernoulli: :obj:`bool`, optional :param two_sided: Perform a two-sided test, defaults to True. :type two_sided: :obj:`bool`, optional :param return_tuple: Return a tuple with t statistic, critical value and p-value, defaults to False. :type return_tuple: :obj:`bool`, optional :example: >>> from statinf import stats >>> stats.ttest([30.02, 29.99, 30.11, 29.97, 30.01, 29.99], mu=30) ... +------------------------------------------------------------+ ... | One Sample Student test | ... +------------+----------------+------------+---------+-------+ ... | df | Critical value | T-value | p-value | H0 | ... +------------+----------------+------------+---------+-------+ ... | 5 | 2.5705818366 | 0.7392961 | 0.49295 | True | ... +------------+----------------+------------+---------+-------+ ... * Confidence level is 95.0%, we need p > 0.025 for two-sided test ... * We cannot reject the hypothesis H0: X_bar = 30 :reference: * DeGroot, M. H., & Schervish, M. J. (2012). Probability and statistics. Pearson Education. * Student. (1908). The probable error of a mean. Biometrika, 1-25. :return: Summary for the test or tuple statistic, critical value, p-value. :rtype: :obj:`str` or :obj:`tuple` """ # Define test degrees of freedom if two_sided: quant_order = 1 - (alpha / 2) h0 = f'X_bar = {mu}' h1 = f'X_bar != {mu}' else: quant_order = 1 - alpha h0 = f'X_bar <= {mu}' h1 = f'X_bar > {mu}' # Input vector as array x = np.asarray(x) # Sample size n = len(x) # Empirical mean x_bar = x.mean() # s estimator (variance) if is_bernoulli: s2 = x_bar * (1 - x_bar) else: s2 = desc.var(x) # Degrees of freedom df = n - 1 # T statistic t = (x_bar - mu) / (math.sqrt(s2 / n)) if two_sided: t = math.fabs(t) # p and critical values p = 2.0 * (1.0 - scp.t.cdf(t, df=df)) if n > 30: cv = scp.norm.ppf(quant_order) else: cv = scp.t.ppf(quant_order, df=df) _summ = test_summary(df=df, critical_value=cv, t_value=t, p_value=p, title='One Sample Student test', h0=h0, h1=h1, alpha=alpha) if return_tuple: return t, cv, p else: print(_summ)
# 2 samples Student test
[docs]def ttest_2samp(x1, x2, alpha=0.05, paired=False, is_bernoulli=False, two_sided=True, return_tuple=False): """Two samples Student's test. If the samples are independent (:math:`X_{1} \\bot X_{2}`), we test: .. math:: H_{0}: \\bar{X}_{1} = \\bar{X}_{2} \\text{ against } H_{1}: \\bar{X}_{1} \\neq \\bar{X}_{2} The test statistic is: .. math:: t = \\dfrac{\\bar{X}_{1} - \\bar{X}_{2} }{ \\sqrt{ \\dfrac{(n_{1} - 1) s^{2}_{1} + (n_{2} - 1) s^{2}_{2}}{n_{1} + n_{2} - 1} } \\sqrt{\\dfrac{1}{n_{1}} + \\dfrac{1}{n_{2}}} } where: * :math:`t \\sim \\mathcal{T}_{n_{1} + n_{2} - 2}`, if :math:`\\mathbf{X} \\sim \\mathcal{N}(\\mu_{X}, \\sigma^{2}_{X})` and :math:`\\mathbf{Y} \\sim \\mathcal{N}(\\mu_{Y}, \\sigma^{2}_{Y})` * :math:`t \\sim \\mathcal{N}(0, 1)`, if :math:`n_{1} \\gg 30` and :math:`n_{2} \\gg 30` If samples are paired: .. math:: H_{0}: \\bar{X}_{1} = \\bar{X}_{2} \\Leftrightarrow \\bar{X}_{1} - \\bar{X}_{2} = 0 \\Leftrightarrow \\bar{X}_{D} = 0 We then compared a one sample test where the tested vector is the difference between both vectors :math:`X_{D} = X_{1} - X_{2}` for which we compare whether it is equal to 0. :param x1: Input variable. Format can be :obj:`numpy.array`, :obj:`list` or :obj:`pandas.Series`. :type x1: :obj:`numpy.array` :param x2: Input variable. Format can be :obj:`numpy.array`, :obj:`list` or :obj:`pandas.Series`. :type x2: :obj:`numpy.array` :param alpha: Confidence level, defaults to 0.05. :type alpha: :obj:`float`, optional :param paired: Performs one sample test of the difference if samples are paired, defaults to False. :type paired: :obj:`bool`, optional :param is_bernoulli: Input variables follow a Bernoulli distribution, i.e. :math:`\\mathbf{X} \\sim \\mathcal{B}(p)` with :math:`p \\in [0, 1]`, defaults to False. :type is_bernoulli: :obj:`bool`, optional :param two_sided: Perform a two-sided test, defaults to True. :type two_sided: :obj:`bool`, optional :param return_tuple: Return a tuple with t statistic, critical value and p-value, defaults to False. :type return_tuple: :obj:`bool`, optional :example: >>> from statinf import stats >>> a = [30.02, 29.99, 30.11, 29.97, 30.01, 29.99] >>> b = [29.89, 29.93, 29.72, 29.98, 30.02, 29.98] >>> stats.ttest_2samp(a, b) ... +------------------------------------------------------------+ ... | Two Samples Student test | ... +------------+----------------+------------+---------+-------+ ... | df | Critical value | T-value | p-value | H0 | ... +------------+----------------+------------+---------+-------+ ... | 10 | -1.8124611228 | 1.1310325 | 0.28444 | True | ... +------------+----------------+------------+---------+-------+ ... * Confidence level is 95.0%, we need p > 0.05 ... * We cannot reject the hypothesis H0: X1 = X2 ... * Samples with unequal variances ... * Same sample sizes :reference: * DeGroot, M. H., & Schervish, M. J. (2012). Probability and statistics. Pearson Education. * Student. (1908). The probable error of a mean. Biometrika, 1-25. :return: Summary for the test or tuple statistic, critical value, p-value. :rtype: :obj:`str` or :obj:`tuple` """ x = np.asarray(x1) y = np.asarray(x2) # Define test degrees of freedom if two_sided: quant_order = 1 - (alpha / 2) h0 = 'X1_bar = X2_bar' h1 = 'X1_bar != X2_bar' else: quant_order = 1 - alpha h0 = 'X1 <= X2' h1 = 'X1 > X2' # Sample sizes n1, n2 = len(x), len(y) if paired: # If samples are paired, we perform a 1-sample student test # We compare if the difference is different from 0. mean1, mean2 = x.mean(), y.mean() d = x - y t, cv, p = ttest(d, alpha=alpha, return_tuple=True) df = len(d) else: # Else samples are independent # Compute means mean1, mean2 = x.mean(), y.mean() # Compute standard deviations if is_bernoulli: s1 = mean1 * (1 - mean1) s2 = mean2 * (1 - mean2) else: s1 = desc.var(x) s2 = desc.var(y) # Compute grouped variance sd = np.sqrt(((n1 - 1) * s1 + (n2 - 1) * s2) / (n1 + n2 - 2)) # Degrees of freedom df = n1 + n2 - 2 # Calculate the t statistic t = (mean1 - mean2) / sd # calculate the critical value cv = scp.t.ppf(quant_order, df) # calculate the p-value if (n1 > 30) & (n2 > 30): p = 2.0 * (1.0 - scp.norm.cdf(math.fabs(t))) else: p = 2.0 * (1.0 - scp.t.cdf(math.fabs(t), df=df)) extra = f" * E(X1) = {round(mean1, 3)} and E(X2) = {round(mean2, 3)} \n" extra += " * Performed test for paired samples \n" if paired else '' extra += " * Large sample sizes, t ~ N(0, 1) from CLT" if (n1 > 30) & (n2 > 30) else ' * Small sample sizes, assumed t ~ T(n-1)' _summ = test_summary(df=df, critical_value=cv, t_value=t, p_value=p, title='Two Samples Student test', h0=h0, h1=h1, alpha=alpha, extra=extra) if return_tuple: return t, cv, p else: print(_summ)
# Kolmogorov-Smirnov test
[docs]def kstest(x1, x2='normal', alpha=0.05, return_tuple=False, **kwargs): """Kolmogorov-Smirnov test for sample tests. We test if two samples come from the same distribution :math:`H_{0}: F(x) = G(x)` against :math:`H_{1}: F(x)` follows a distribution that :math:`G(x)`. The statistic is: .. math:: D_{mn} = \\sup_{-\\infty < x < + \\infty} |F_{n}(x) - G_{m}(x)| and the critical value is given by: .. math:: c = \\mathbb{P} \\left[ \\left( \\dfrac{mn}{n + m} \\right)^{2} D_{mn} < K_{\\alpha} \\right] where :math:`K_{\\alpha}` represents the quantile of order :math:`\\alpha` from a Kolmogorov distribution. This test is an alternative to the :math:`\\chi^{2}`-test where we compare two distributions. By comparing an unknown empirical distribution :math:`F_{n}` with a distribution :math:`G_{n}` pulled from a known function, we can assess whether :math:`F_{n}` follows the same distribution as :math:`G_{n}`. For instance, when comparing :math:`F_{n}` (unknown) to :math:`G_{n} \\sim \\mathcal{N}(\\mu, \\sigma^{2})`, not rejecting :math:`H_{0}` would mean that we cannot reject the hypothesis that :math:`F_{n} \\sim \\mathcal{N}(\\mu, \\sigma^{2})`. :param x1: Input variable. Format can be :obj:`numpy.array`, :obj:`list` or :obj:`pandas.Series`. :type x1: :obj:`numpy.array` :param x2: Sample to be compared. Can be external empirical sample in the same format as :obj:`x1` or the name of a cdf which can be 'normal', 'beta', 'gamma', 'poisson', 'chisquare', 'exponential', 'gamma', defaults to 'normal'. :type x2: :obj:`str`, optional :param alpha: Confidence level, defaults to 0.05. :type alpha: :obj:`float`, optional :param return_tuple: Return a tuple with K statistic, critical value and p-value, defaults to False. :type return_tuple: :obj:`bool`, optional :example: >>> from statinf import stats >>> import numpy as np >>> stats.kstest(np.random.normal(size=100)) ... +------------------------------------------------------------+ ... | Kolmogorov-Smirnov test | ... +------------+----------------+------------+---------+-------+ ... | D value | Critical value | K-value | p-value | H0 | ... +------------+----------------+------------+---------+-------+ ... | 0.09 | 1.35809863932 | 0.6363961 | 0.81275 | True | ... +------------+----------------+------------+---------+-------+ ... * We cannot reject the hypothesis H0: F(x) ~ normal ... * Confidence level is 95.0%, we need p > 0.05 :reference: * DeGroot, M. H., & Schervish, M. J. (2012). Probability and statistics. Pearson Education. * Kolmogorov-Smirnov, A. N., Kolmogorov, A., & Kolmogorov, M. (1933). Sulla determinazione empírica di uma legge di distribuzione. * Marsaglia, G., Tsang, W. W., & Wang, J. (2003). `Evaluating Kolmogorov's distribution <https://www.jstatsoft.org/article/view/v008i18>`_. Journal of Statistical Software, 8(18), 1-4. :return: Summary for the test or tuple statistic, critical value, p-value. :rtype: :obj:`str` or :obj:`tuple` """ quant_order = 1 - alpha # Format x1 x = np.asarray(x1) n = len(x) if type(x2) == str: h0 = f"F(x) ~ {x2}" h1 = f"F(x) is not {x2}" if x2.lower() in ['normal', 'norm', 'gaussian', 'gauss']: y = np.random.normal(size=n, **kwargs) elif x2.lower() in ['beta']: y = np.random.beta(size=n, **kwargs) elif x2.lower() in ['gamma']: y = np.random.gamma(size=n, **kwargs) elif x2.lower() in ['poisson']: y = np.random.poisson(size=n, **kwargs) elif x2.lower() in ['chisquare', 'chi-square', 'chi2', 'x2']: y = np.random.chisquare(size=n, **kwargs) elif x2.lower() in ['exponential', 'expo']: y = np.random.exponential(size=n, **kwargs) elif x2.lower() in ['gumbel']: y = np.random.gumbel(size=n, **kwargs) else: raise ValueError('cdf value for x2 is not valid.') else: y = np.asarray(x2) h0 = "F(x) = G(x)" h1 = "F(x) and G(x) have different distributions" # Sample sizes m = len(y) # Sort values and concatenate to one array x_sort = np.sort(x) y_sort = np.sort(y) concat_data = np.concatenate([x_sort, y_sort]) # Build sort distributions to compute the max deviance cdf1 = np.searchsorted(x_sort, concat_data, side='right') / float(n) cdf2 = (np.searchsorted(y_sort, concat_data, side='right')) / float(m) # Find the max deviance d = np.max(np.absolute(cdf1 - cdf2)) # Compute K value k = d * math.sqrt((n * m) / (n + m)) cv = scp.kstwobign.ppf(quant_order) p = 1.0 - scp.kstwobign.cdf(math.fabs(k)) _summ = test_summary(df=n, critical_value=cv, t_value=k, p_value=p, alpha=alpha, title='Kolmogorov-Smirnov test', h0=h0, h1=h1, extra=f' * The D-value is: {round(d, 5)}') if return_tuple: return k, cv, p else: print(_summ)
# Wilcoxon test
[docs]def wilcoxon(x, y=None, alpha=0.05, alternative='two-sided', mode='auto', zero_method='wilcox', return_tuple=False): """Wilcoxon signed-rank test. :param x: First sample to compare. If `y` is not provided, will correspond to the difference :math:`x - y`. :type x: :obj:`numpy.array` :param y: Second sample to compare, defaults to None. :type y: :obj:`numpy.array`, optional :param alpha: Confidence level, defaults to 0.05. :type alpha: :obj:`float``, optional :param alternative: Perform a one or two-sided test. Values can be `two-sided`, `greater`, `less`, defaults to 'two-sided'. :type alternative: :obj:`str`, optional :param mode: Method to calculate the p-value. Computes the exact distribution is sample size is less than 25, otherwise uses normal approximation. Values can be `auto`, `approx` or `exact`, defaults to 'auto'. :type mode: :obj:`str`, optional :param zero_method: Method to handle the zero differences., defaults to 'wilcox' :type zero_method: :obj:`str`, optional :param return_tuple: Return a tuple with t statistic, critical value and p-value, defaults to False. :type return_tuple: :obj:`bool`, optional :example: >>> from statinf import stats >>> import numpy as np >>> x = np.random.poisson(2, size=100) >>> y = x_dist + np.random.normal(loc=0, scale=1, size=100) >>> stats.wilcoxon(x, y) ... +------------------------------------------------------------+ ... | Wilcoxon test | ... +------------+----------------+------------+---------+-------+ ... | df | Critical value | Stat value | p-value | H0 | ... +------------+----------------+------------+---------+-------+ ... | 100 | 1.9599639845 | -1.316878 | 0.18788 | True | ... +------------+----------------+------------+---------+-------+ ... * We cannot reject H0: x - y ~ symmetric distribution centered in 0 ... * The T-value is: 2142.0 :reference: * Wilcoxon, F., Individual Comparisons by Ranking Methods, Biometrics Bulletin, Vol. 1, 1945, pp. 80-83. * Cureton, E.E., The Normal Approximation to the Signed-Rank Sampling Distribution When Zero Differences are Present, Journal of the American Statistical Association, Vol. 62, 1967, pp. 1068-1069. :return: Summary for the test or tuple statistic, critical value, p-value. :rtype: :obj:`tuple` """ # Code mostly inspired from: https://github.com/scipy/scipy/blob/v1.7.0/scipy/stats/morestats.py#L2984-L3233 # Define test degrees of freedom if alternative == 'two-sided': quant_order = 1 - (alpha / 2) h0 = 'x - y ~ symmetric distribution centered in 0' h1 = 'x - y is not a symmetric distribution centered in 0' else: quant_order = 1 - alpha h0 = 'x - y ~ symmetric distribution centered in 0' h1 = 'x - y is not a symmetric distribution centered in 0' if y is None: # If y is not provided, we consider x already corresponds to x - y d = format_object(x, to_type='array', name='x') else: x = format_object(x, to_type='array', name='x') y = format_object(y, to_type='array', name='y') d = x - y if mode == "auto": if len(d) <= 25: mode = "exact" else: mode = "approx" n_zero = np.sum(d == 0) if n_zero > 0: mode = "approx" warnings.warn("Found some ties, switching mode to 'approx.'") if mode == "approx": if zero_method in ["wilcox", "pratt"]: if n_zero == len(d): raise ValueError("zero_method 'wilcox' and 'pratt' do not " "work if x - y is zero for all elements.") if zero_method == "wilcox": # Keep all non-zero differences # d = compress(np.not_equal(d, 0), d) d = np.array([_d for _d in d if _d != 0]) count = len(d) if count < 10 and mode == "approx": ValueError(f"Sample size is too small for normal approximation, got n={count}.") r = scp.rankdata(abs(d)) r_plus = np.sum((d > 0) * r) r_minus = np.sum((d < 0) * r) if alternative == "two-sided": T = min(r_plus, r_minus) else: T = r_plus # Estimation with approximation (dim < 25) if mode == "approx": mn = count * (count + 1.) * 0.25 se = count * (count + 1.) * (2. * count + 1.) if zero_method == "pratt": r = r[d != 0] # normal approximation needs to be adjusted, see Cureton (1967) mn -= n_zero * (n_zero + 1.) * 0.25 se -= n_zero * (n_zero + 1.) * (2. * n_zero + 1.) _, repnum = scp.find_repeats(r) if repnum.size != 0: # Correction for repeated elements. se -= 0.5 * (repnum * (repnum * repnum - 1)).sum() se = math.sqrt(se / 24) # apply continuity correction if applicable d = 0 # compute statistic and p-value using normal approximation z = (T - mn - d) / se if alternative == "two-sided": p = 2. * scp.norm.sf(abs(z)) elif alternative == "greater": # large T = r_plus indicates x is greater than y; i.e. # accept alternative in that case and return small p-value (sf) p = scp.norm.sf(z) else: p = scp.norm.cdf(z) # Exact estimation elif mode == "exact": # Get frequencies cnt of the possible positive ranksums r_plus cnt = scp._hypotests._get_wilcoxon_distr(count) # Note: r_plus is int (ties not allowed), need int for slices below r_plus = int(r_plus) if alternative == "two-sided": if r_plus == (len(cnt) - 1) // 2: # r_plus is the center of the distribution. p = 1.0 else: p_less = np.sum(cnt[:r_plus + 1]) / 2**count p_greater = np.sum(cnt[r_plus:]) / 2**count p = 2 * min(p_greater, p_less) elif alternative == "greater": p = np.sum(cnt[r_plus:]) / 2**count else: p = np.sum(cnt[:r_plus + 1]) / 2**count cv = scp.norm.ppf(quant_order) _summ = test_summary(df=count, critical_value=cv, t_value=z, p_value=p, alpha=alpha, title='Wilcoxon test', h0=h0, h1=h1, extra=f' * The T-value is: {round(T, 5)}') if return_tuple: return z, cv, p else: print(_summ)
[docs]def dispersion_test(x, alpha=0.05, two_sided=True, return_tuple=False): """Dispersion test for count data. In the two-sided setup, we aim at testing: .. math:: H_{0}: \\mathbb{E}(X) = \\mathbb{V}(X) \\text{ against } H_{1}: \\mathbb{E}(X) \\neq \\mathbb{V}(X) The p-value is computed as: .. math:: \\mathbb{P}(T \\leq t \\mid H_{0} \\text{ holds}) with, under :math:`H_{0}`: .. math:: t = \\dfrac{\\dfrac{1}{n-1} \\sum_{i=1}^{n} (X_i - \\bar{X})^2 - \\bar{X}}{\\sqrt{\\dfrac{2}{n-1}} \\bar{X}} \\sim \\chi^2_{n-1} :param x: Input variable. Format can be :obj:`numpy.array`, :obj:`list` or :obj:`pandas.Series`. :type x: :obj:`numpy.array` :param alpha: Confidence level, defaults to 0.05. :type alpha: :obj:`float`, optional :param two_sided: Perform a two-sided test, defaults to True. :type two_sided: :obj:`bool`, optional :param return_tuple: Return a tuple with t statistic, critical value and p-value, defaults to False. :type return_tuple: :obj:`bool`, optional :example: >>> from statinf import stats >>> stats.dispersion_test([36, 31, 39, 25, 40, 36, 30, 36, 27, 35, 28, 37, 39, 39, 30]) ... +------------------------------------------------------------+ ... | Dispersion test | ... +------------+----------------+------------+---------+-------+ ... | df | Critical value | T-value | p-value | H0 | ... +------------+----------------+------------+---------+-------+ ... | 15 | 26.118948045 | -0.7499767 | 0.0 | False | ... +------------+----------------+------------+---------+-------+ ... * We reject H0, hence E(X) != V(X) ... * E(X) = 33.87 ... * V(X) = 22.65 :reference: * Böhning, D. (1994). A note on a test for Poisson overdispersion. Biometrika, 81(2), 418-419. * de Oliveira, J. T. (1965). Some elementary tests of mixtures of discrete distributions. Classical and contagious discrete distributions, 379-384. :return: Summary for the test or tuple statistic, critical value, p-value. :rtype: :obj:`str` or :obj:`tuple` """ # Define test degrees of freedom if two_sided: quant_order = 1 - (alpha / 2) h0 = 'E(X) = V(X)' h1 = 'E(X) != V(X)' else: quant_order = 1 - alpha h0 = 'E(X) <= V(X)' h1 = 'E(X) > V(X)' # Input vector as array x = np.asarray(x) # Sample size n = len(x) # Compute empirical mean to estimate \lambda x_bar = x.mean() # Compute empirical variance S_2 = np.array([(i - x_bar)**2 for i in x]).sum() # Test statistic's numerator _num = 1 / (n - 1) _num *= S_2 _num -= x_bar # Test statistic's denominator _denom = np.sqrt(2 / (n - 1)) _denom *= x_bar # Test statistic t = _num / _denom cv = scp.chi2.ppf(quant_order, df=n - 1) p = scp.chi2.cdf(t, df=n - 1) extra = f" * E(X) = {x.mean():.2f}\n * V(X) = {x.var():.2f}" _summ = test_summary(df=n, critical_value=cv, t_value=t, p_value=p, alpha=alpha, title='Dispersion test', h0=h0, h1=h1, extra=extra) if return_tuple: return t, cv, p else: print(_summ)