Introduction to statistics

Bioinformatics-II Computational Sciences April 2010
Prof. dr. Antoine van Kampen 1. Bioinformatics Laboratory, AMC 2. BioSystems Data Analysis, UvA a.h.vankampen@amc.uva.nl

Descriptive Statistics

Describing data

Moment

Non-mean based measure Mode, median Range (max-min), Interquartile range (1st3rd quartile) ---

Center Spread

Mean Variance (standard deviation) Skewness Kurtosis

Skew Peaked

Quartile
‡ In descriptive statistics, a quartile is any of the three values which divide the sorted data set into four equal parts, so that each part represents 1/4th of the sample or population.
± first quartile (designated Q1) = lower quartile ‡ cuts off lowest 25% of data (25th percentile ) ± second quartile (designated Q2) = median ‡ cuts data set in half (50th percentile ) ± third quartile (designated Q3) = upper quartile ‡ cuts off highest 25% of data, or lowest 75% (75th percentile )

‡ The difference between the upper and lower quartiles is called the interquartile range.

the term degrees of freedom (df) is a measure of the number of independent pieces of information on which the precision of a parameter estimate is based. i !1 Degrees of freedom n 2 variance ( xi  Q ) § n 1 ! s i !1 n 2 Standard deviation In statistics. of a Sample ( xi  Q ) 2 § n 1 ! s .jerrydallal.com/LHSP/dof.D. S. 227-228 .Variance. http://www.htm Jack Good's 1973 article in the American Statistician "What are Degrees of Freedom?" 27.

Skewness Frequency Value .

Box-whisker plots .

Quality of a sampling estimate Precision & validity No precision Precision but no validity Random error Systematic error (bias) .

t-distribution. Poisson. hypergeometric.Distributions ‡ Normal. binomial. chi-square ‡ What parameters describe their shapes ‡ How these distributions can be useful .

Normal distribution .

The Normal Distribution ‡ Also called a ³Gaussian´ distribution ‡ Centered around the mean Q with a width determined by the standard deviation W ‡ Total area under the curve = 1.0 1  ( x  Q ) / 2W 2 f ( x) ! e W 2T .

‡ For a mean of 5 and a standard deviation of 1: .A Normal Distribution . . .

but if you make a lot of measurements. ‡ The random uncertainty or random error .What Does a Normal Distribution Describe? ‡ Imagine that you go to the lab and very carefully measure out 5 ml of liquid and weigh it. a histogram of your measurements will approach the appearance of a normal distribution. ± Imagine repeating this process many times. ‡ You won¶t get the same answer every time. ‡ Any situation in which the exact value of a continuous variable is altered randomly from trial to trial.

How Do You Use The Normal Distribution? ‡ Use the area UNDER the normal distribution ‡ For example. the area under the curve between x=a and x=b is the probability that your next measurement of x will fall between a and b .

The shaded area contains 95% of the area and extends from 55.6 A normal distribution with a mean of 75 and a standard deviation of 10. 95% of the area is within 1.4 75 94. .96 standard deviations of the mean.55.6. For all normal distributions.4 to 94.

6 Area is determined by integration of normal distribution .55.4 94.

Integration .

Q and W will be given Later we¶ll use x and s to estimate Q and W . you have a finite number of measurements with mean x and standard deviation s ‡ For now.How Do You Get Q and W? ‡ To draw a normal distribution you must know Q and W 1  ( x  Q ) / 2W 2 f ( x) ! e W 2 ‡ If you made an infinite number of measurements. their mean would be Q and their standard deviation would be W In practice.

Q) / W ‡ Use the standard normal distribution Q = 0 and W = 1 (areas tabulated in any statistics text book) The z-score indicates the number of standard deviations that value x is away from the mean Q . so use a µstandard normal distribution¶ with standard tabulated areas. ‡ Convert your measurement x to a standard score (z-score) z = (x .The Standard Normal Distribution ‡ It is tedious to µintegrate¶ a new normal distribution for every population.

Probability density function z-transform green curve is standard normal distribution .

5% .Standard Normal Distribution z=1.96 2.

Standard Normal Distribution .

66 .mean=5 std=3 x>=10 4.66 transform of mean: z = (5-5)/3 = 0 transform of other value: z = (10-5)/3 = 1.8% mean=0 std=1 x>=1.

html .8 standard deviations from the mean? *A test is normally distributed with a mean of 40 and a standard deviation of 7. What value would be needed to be in the 85th percentile? Stat tables: http://www.statsoft. what percent of the scores is: (a) greater than 30? (b) greater than 37? (c) between 28 and 34? *What proportion of a normal distribution is within one standard deviation of the mean? *What proportion is more than 1.com/textbook/sttable.Exercises 1 *If scores are normally distributed with a mean of 30 and a standard deviation of 5.

Binomial distribution .

What Does the Binomial Distribution Describe? ‡ yes/no experiments (two possible outcomes) ‡ The probability of getting all ³tails´ if you throw a coin three times ‡ The probability of getting all male puppies in a litter of 8 ‡ The probability of getting two defective batteries in a package of six .

Exercise 2 What is the probability of getting one µ2¶ when you roll six dice? .

The Binomial Distribution bionomial coefficient ‡ The probability of getting the result of interest k times out of n. k is a discrete variable ± Integer values only . if the overall probability of the result is p ‡ Note that here.

402 .Binomial Distribution ‡ n=6 ‡ p = 1/6 ‡ k = [0 1 2 3 4 5 6] number of dice rolled probability of rolling a 2 # of 2s out of 6 0.

Binomial Distribution ‡ n = 8. ‡ k = [0 1 2 3 4 5 6 7 8]. number of puppies in litter probability of any pup being male # of males out of 8 . ‡ p = 1/2.

unless p is very small ‡ Mean number of ³successes´ is np ‡ Variance of distribution is variance (X) = n p(1.The Shape of the Binomial Distribution ‡ Shape is determined by values of n and p ± Only truly symmetric if p = 0.p) .5 ± Approaches normal distribution if n is large.

Exercise 3 While you are in the bathroom. How justified would you be in beating him up for cheating? . your little brother claims to have rolled a ³Yahtzee´ in 6¶s (five dice all 6¶s) in one roll of the five dice.

1. 2.) average of distribution variance == mean .Poisson distribution e Q Pn ( Q ) ! n! P( ) Q n probability of getting n counts (=0....

Poisson distribution Randomly placed dots over 50 scale divisions. On average =1 dot per interval =1 e Q Pn (Q) ! n! P( ) Q n probability of getting n counts average of distribution n .

1 What is probability of getting 4 calls? .Exercise 4 e Q n (Q ) ! n! Q n Pn( ) probability of getting n counts average of distribution Average number of phone calls in 1 hour = 2.

Exercise 5 e Q n (Q ) ! n! Q n Pn( ) probability of getting n counts average of distribution Average number of phone calls in 1 hour = 2.1 What is probability of getting 0 calls? Does this simplify the formula? .

Hypergeometric distribution .

Hypergeometric Distribution ‡ Suppose that we have an urn with N balls in it. ‡ X is a random variable following hypergeometric distribution ‡ What is the probability of observing X=6 yellow balls? N=20 m=n=10 draw k=10 balls X=6 . ‡ Then k balls are drawn from the urn without replacement and of these X are observed to be yellow. of these m are yellow and others are blue.

Hypergeometric Distribution N=20. 0 =n=k=10 White Balls drawn Remained in urn X m±X m Black k ±X n±k+X n k P(X) N-k N 0. 0.00 0.15 2 4 X 6 8 10 P(X = x) = ¨m¸ ¨ n ¸ © ¹© ¹ ª x º ªk-xº ¨N¸ © ¹ ªkº N! x! (m-x)! (k-x)! (n-k+x)! = k! (N-k)! m! n! .

it is less likely that we get the result by chance.Fisher¶s Exact Test ‡ We often want to ask whether there are more white balls in the sample than expected by chance.k)  If the probability is small. . White Balls drawn Remained in urn x¶ m ± x¶ m Black k ± x¶ n ± k + x¶ n k N-k N P(X u x¶) = § ! x! (m-x)! (k-x)! ( -m-k x)! k! ( -k)! m! ( -m)! x= x' to min(m.

Hypergeometric example ‡ We extracted 36 samples from leukemia microarray dataset: ± Whole dataset: 47 ALL + 25 AML (total 72 samples) How many ALL and AML samples do you expect when you randomly select samples from the dataset? .

Hypergeometric example ‡ We extracted 36 samples from leukemia microarray dataset: ± Whole dataset: 47 ALL + 25 AML (total 72 samples) How many ALL and AML samples do you expect when you randomly select samples from the dataset? Answer: 23.88 (original ratio = 47/25=1.5 AML ratio = 1.88) .5 ALL 12.

Hypergeometric example ‡ We extracted 36 samples from leukemia microarray dataset: ± Whole dataset: 47 ALL + 25 AML (total 72 samples) ± Extracted: 29 ALL + 7 AML Is this sample enriched for ALL samples? ALL Extracted Not extracted Total: 29 18 47 AML 7 18 25 36 36 72 Pr(extracted ALL 29) ¨47¸ ¨ 25 ¸ ª i º ª36 ± iº = ¨ 72 ¸ i >= 29 ª 36 º § 36 = 0.006  Conclusion: This sample is significantly enriched with ALL samples possible bias in sample selection .

‡ If we continue to take random samples and calculate a given statistic over time. ‡ A sampling distribution is a distribution that describes the chance fluctuations of a statistic calculated from a random sample. we will build up a distribution of values for the statistic. a statistic is a random variable).Sampling Distribution ‡ Every time we take a random sample and calculate a statistic. the value of the statistic changes (remember. This distribution is referred to as a sampling distribution. .

Sampling Distribution of the Mean
‡ The probability distribution of distribution of the mean.

X

is called the sampling

‡ The distribution of X , for a given sample size n, describes the variability of sample averages around the population mean .

Sampling Distribution of the Mean
‡ If a random sample of size n is taken from a normal 2 population having mean x and varianceW x , then X is a random variable which is also normally distributed with mean x and variance W 2 .
x

n
‡ Further,

X  Qx Z! W n

is a standard normal random variable.

Sampling Distribution of the Mean
Original population 1
Original Population Averages - Sample Size = 10

n(100,5)

3

n(100,1.58)

80

85

90

95

100 X

105

110

115

120

80

85

90

95

100 X(10)

105

110

115

120

Averages - Sample Size = 2

Averages - Sample Size = 25

2

n(100,3.54)

4

n(100,1)

5/sqrt(2)=3.54
80 85 90 95 100 X(2) 105 110 115 120
80 85 90 95 100 X(25) 105 110 115 120

Sampling Distribution of the Mean
‡ Example: A manufacturer of steel rods claims that the length of his bars follows a normal distribution with a mean of 30 cm and a standard deviation of 0.5 cm.
(a) Assuming that the claim is true, what is the probability that a given bar will exceed 30.1 cm? (b) Assuming the claim is true, what is the probability that the mean of 10 randomly chosen bars will exceed 30.1 cm? (c) Assuming the claim is true, what is the probability that the mean of 100 randomly chosen bars will exceed 30.1 cm?

5/sqrt(100)=2 p=0.1-30)/(0.26) (c) Assuming the claim is true.5/sqrt(10)=0.Sampling Distribution of the Mean ‡ Example: A manufacturer of steel rods claims that the length of his bars follows a normal distribution with a mean of 30 cm and a standard deviation of 0.02) .63 p=0.1 cm? (z=30. (a) Assuming that the claim is true. what is the probability that the mean of 10 randomly chosen bars will exceed 30.1 cm? (z=30.1-30)/(0.1-30)/0. what is the probability that the mean of 100 randomly chosen bars will exceed 30.5 cm. what is the probability that a given bar will exceed 30.42) (b) Assuming the claim is true.5=0.2 p=0.1 cm? (z=30.

5 30 X 30.02 28.5 31 31.5 Steel Bar Lengths (cm) Steel Bar Lengths (cm) .5 31 31.5 .5 29 29.5 30 X(10) 30.5 31 31.5 28.5 29 29.5 30 X(100) 30.42 28. 26 .Sampling Distribution of the Mean Steel Bar Lengths (cm) .5 29 29.

_ W x decrease. standard error: _ W x = W .Properties of Sample Mean as Estimator of Population Mean ‡ Expected value of sample mean is population mean X) ! Q ‡ The mean has variance Variance = W 2 n n As n increase.

.

When the Population is Normal then the Sampling Distribution is Also Normal Population Distribution Central Tendency = 10 Q _ = Q x Q = 50 X Variation W _ = W x n Sampling Distributions n=4 DX = 5 QX = 50 X n =16 DX = 2.5 X .

Central Limit Theorem As Sample Size Gets Large Enough Sampling Distribution Becomes almost normal regardless of shape of population X X .

8 Q _ = Q x Variation W _ = W x n QX ! 50 X .When The Population is Not Normal Population Distribution Central Tendency W = 10 Q = 50 X Sampling Distributions n=4 WDX = n =30 WDX = 1.

‡ Otherwise t-distribution . If n < 30.Central Limit Theorem ‡ Rule of thumb: normal approximation for X will be good if n > 30. the approximation is only good if the population from which you are sampling is not too different from normal.

we have been assuming that we knew the value of . it is often true that one is estimating from the same set of data. along with §(Xi  X ) W !s! Ö n 1 2 .t-Distribution ‡ So far. This may be true if one has a large amount of experience with a certain process. ‡ However.

t-Distribution ‡ To allow for such a situation. S n standard error of the mean . we will consider the t statistic: X  Qx T! S n which follows a t-distribution.

t-Distribution t-Distribution t(n=6) t(n=g) = Z t(n=3) -4 -3 -2 -1 0 t 1 2 3 4 .

t-Distribution ‡ If X is the mean of a random sample of size n taken from a normal population having the mean and variance 2. where is degrees of freedom.distribution with parameter = n ± 1. and §(Xi  X ) S ! 2 2 then n 1 X Q t! S/ n is a random variable following the t. .

80 t. due to symmetry.20 t.t-Distribution ‡ The t-distribution has been tabularized. ‡ Note.95 t. ‡ t represents the t-value that has an area of it.= -t t-Distribution to the right of -4 -3 -2 -1 0 t(n=3) 1 2 3 4 t.05 . t1.

We sample 5 batches and get the following readings: 1400. X ! 1455 S ! 72 ‡ Does this data support or refute a population average of 1400? . 1375. 1450. 1550.Example: t-Distribution ‡ The resistivity of batches of electrolyte follow a normal distribution. 1500.

78 .71 t=2.Example: t-Distribution X  Q 1455  1400 t! ! ! 1.025 Refute 3 4 1.71 S/ n 72 / 5 t-Distribution Support Refute -4 -3 -2 -1 0 t(n=5) 1 2 p=0.

Introduction to Hypothesis Testing .

Nonstatistical Hypothesis Testing« ‡ A criminal trial is an example of hypothesis testing without the statistics. ‡ In a trial a jury must decide between two hypotheses. The null hypothesis is H0: The defendant is innocent ‡ The alternative hypothesis or research hypothesis is H1: The defendant is guilty ‡ The jury does not know which hypothesis is true. They must make a decision on the basis of evidence presented.

Nonstatistical Hypothesis Testing« ‡ In the language of statistics convicting the defendant is called rejecting the null hypothesis in favor of the alternative hypothesis.
± That is, the jury is saying that there is enough evidence to conclude that the defendant is guilty (i.e., there is enough evidence to support the alternative hypothesis).

‡ If the jury acquits it is stating that there is not enough evidence to support the alternative hypothesis.
± Notice that the jury is not saying that the defendant is innocent, only that there is not enough evidence to support the alternative hypothesis. ± That is why we never say that we accept the null hypothesis.

Nonstatistical Hypothesis Testing« ‡ There are two possible errors. ‡ A Type I error occurs when we reject a true null hypothesis. That is, a Type I error occurs when the jury convicts an innocent person. ‡ A Type II error occurs when we don¶t reject a false null hypothesis. That occurs when a guilty defendant is acquitted.

Nonstatistical Hypothesis Testing« ‡ The probability of a Type I error is denoted as . ‡ The probability of a type II error is . ‡ The two probabilities are inversely related. Decreasing one increases the other.

3.Nonstatistical Hypothesis Testing« The critical concepts are these 1. The null hypothesis (H0) will always state that the parameter equals the value specified in the alternative hypothesis (H1) The goal is to determine whether there is enough evidence to infer that the alternative hypothesis is true. Conclude that there is not enough evidence to support the alternative hypothesis. The procedure begins with the assumption that the null hypothesis is true. the null and the alternative hypotheses. There are two hypotheses. 2. 3. There are two possible decisions: ± ± Conclude that there is enough evidence to support the alternative hypothesis. 4. .

.‡ Hypothesis testing is a procedure for making inferences about a population. Population Sample Inference Statistic Parameter ‡ Hypothesis testing allows us to determine whether enough statistical evidence exists to conclude that a belief (i.e. hypothesis) about a parameter is supported by the data.

We can rephrase this request into a test of the hypothesis: ‡ H0: = 350 Thus. Rather than estimate the mean demand. our operations manager wants to know whether the mean is different from 350 units.Concepts of Hypothesis Testing« ‡ Example: mean demand for computers during assembly lead time. our research hypothesis becomes: ‡ H1:  350 This is what we are interested in determining .

we will assume: H0: = 350 (assumed to be TRUE) . until we have further statistical evidence.Concepts of Hypothesis Testing« ‡ The testing procedure begins with the assumption that the null hypothesis is true. ‡ Thus.

Concepts of Hypothesis Testing« ‡ The goal of the process is to determine whether there is enough evidence to infer that the alternative hypothesis is true. ‡ That is. is there sufficient statistical information to determine if this statement: H1:  350. is true? This is what we are interested in determining .

.Concepts of Hypothesis Testing« ‡ There are two possible decisions that can be made: Conclude that there is enough evidence to support the alternative hypothesis (also stated as: rejecting the null hypothesis in favor of the alternative) Conclude that there is not enough evidence to support the alternative hypothesis (also stated as: not rejecting the null hypothesis in favor of the alternative) NOTE: we do not say that we accept the null hypothesis.

Concepts of Hypothesis Testing« ‡ Once the null and alternative hypotheses are stated. the sample mean). ‡ For example. if we¶re trying to decide whether the mean is not equal to 350. 355) we could not say that this provides a great deal of evidence to infer that the population mean is different than 350. ‡ If the test statistic¶s value is inconsistent with the null hypothesis we reject the null hypothesis and infer that the alternative hypothesis is true. the next step is to randomly sample the population and calculate a test statistic (in this example. If is close to 350 (say. a large value of (say. 600) would provide enough evidence. .

Concepts of Hypothesis Testing« ‡ Two possible errors can be made in any test: ± A Type I error occurs when we reject a true null hypothesis and ± A Type II error occurs when we don¶t reject a false null hypothesis. ‡ There are probabilities associated with each type of error: P(Type I error) = P(Type II error ) = ‡ is called the significance level. .

e.e. Do NOT reject H0 when it is FALSE) . Reject H0 when it is TRUE) ‡ A Type II error occurs when we don¶t reject a false null hypothesis (i.Types of Errors« ‡ A Type I error occurs when we reject a true null hypothesis (i.

for which the sample mean is ¼178. ‡ A random sample of 400 monthly accounts is drawn.Example ‡ A department store manager determines that a new billing system will be cost-effective only if the mean monthly account is more than ¼170. ‡ Can we conclude that the new system will be cost-effective? . The accounts are approximately normally distributed with a standard deviation of ¼65.

our null hypothesis becomes: ‡ H0: = 170 (this specifies a single value for the parameter of interest) . We express this belief as a our research hypothesis.Example The system will be cost effective if the mean account balance for all customers is greater than ¼170. that is: ‡ H1: > 170 (this is what we want to determine) Thus.

Example What we want to show: H1: > 170 H0: = 170 (we¶ll assume this is true) We know: n = 400 = 178 = 65 ‡ Hmm. What to do next?! .

‡ We will explore both in turn« . we can use two different approaches: ‡ The rejection region approach (typically used when computing statistics manually). and ‡ The p-value approach (which is generally used with a computer and statistical software).Example ‡ To test our hypotheses.

. we decide to reject the null hypothesis in favor of the alternative hypothesis. is the critical value of to reject H0.Example. Rejection Region« ‡ The rejection region is a range of values such that if the test statistic falls into that range.

Example ‡ It seems reasonable to reject the null hypothesis in favor of the alternative if the value of the sample mean is large relative to 170. = P( > ) is also« = P(rejecting H0 given that H0 is true) = P(Type I error) . that is if > .

Example ‡ All that¶s left to do is calculate and compare it to 178. we can calculate this based on any level of significance ( ) we want« .

e.Example ‡ At a 5% significance level (i. =0.05).34 ‡ Since our sample mean (178) is greater than the critical value we calculated (175. we reject the null hypothesis in favor of H1. i. that: > 170 and that it is cost effective to install the new billing system . we get ‡ Solving we compute =175.34).e.

34 =178 .Example The Big Picture« H1: > 170 H0: = 170 Reject H0 in favor of =175.

46 > 1. we reject H0 in favor of H1« .645 (z.Standardized Test Statistic« ‡ An easier method is to use the standardized test statistic: and compare its result to : (rejection region: z > ) ‡ Since z = 2.05).

‡ In the case of our department store example. what is the probability of observing a sample mean at least as extreme as the one already observed (i.p-Value ‡ The p-value of a test is the probability of observing a test statistic at least as extreme as the one computed given that the null hypothesis is true.e. = 178). given that the null hypothesis (H0: = 170) is true? p-value .

hence there is evidence to support H1: > 170. the more statistical evidence exists to support the alternative hypothesis. .Interpreting the p-value« ‡ The smaller the p-value.0069. ‡ We observe a p-value of .

05 .01 .0069 .Interpreting the p-value« Overwhelming Evidence (Highly Significant) Strong Evidence (Significant) Weak Evidence (Not Significant) No Evidence (Not Significant) 0 p=.10 .

Interpreting the p-value« ‡ Compare the p-value with the selected value of the significance level: ‡ If the p-value is less than . we do not reject the null hypothesis. ‡ Since p-value = .05.0069 < H1 = . we reject H0 in favor of . ‡ If the p-value is greater than . we judge the p-value to be small enough to reject the null hypothesis.

the alternative hypothesis is H1: < 22 The null hypothesis is H0: = 22 . Thus. We want to know whether there is enough statistical evidence to show that the population mean is less than 22 days. the parameter to be tested is the population mean.Another example« The objective of the study is to draw a conclusion about the mean payment period. Thus.

‡ We set the significance level at 10%.Another example« ‡ The test statistic is z! x Q W/ n ‡ We wish to reject the null hypothesis in favor of the alternative only if the sample mean and hence the value of the test statistic is small enough. . ‡ As a result we locate the rejection region in the left tail of the sampling distribution.

10 ! 1.Another example« ‡ Rejection region: ‡ Assume z i  z E !  z.1814 Conclusion: There is not enough evidence to infer that the mean is less than 22.63  22 6 / 220 ! .91 p-value = P(Z < -.28 4 . 759 ! ! 21 .91) =0. . 63 220 §x x ! 220 ‡ and z! x Q / n ! 21.

One± and Two±Tail Testing« ‡ The department store example was a one tail test. this was an example of a right tail test. because the rejection region is located in only one tail of the sampling distribution: ‡ More correctly. .

One± and Two±Tail Testing« ‡ The µpayment period¶ example is a left tail test because the rejection region was located in the left tail of the sampling distribution. .

Right-Tail Testing« ‡ Calculate the critical value of the mean ( ) and compare against the observed value of the sample mean ( )« .

Left-Tail Testing« ‡ Calculate the critical value of the mean ( ) and compare against the observed value of the sample mean ( )« .

Two±Tail Testing« ‡ Two tail testing is used when we want to test a research hypothesis that a parameter is not equal () to some value .

09. ‡ They then sample 100 customers at random and recalculate a monthly phone bill based on competitor¶s rates. ‡ They calculate the mean and standard deviation for all their customers at ¼17. ‡ What we want to show is whether or not: H1:  17. We do this by assuming that: H0: = 17.Example ‡ KPN argues that its rates are such that customers won¶t see a difference in their phone bills between them and their competitors.09 .09 and ¼3.87 (respectively).

we set up a two-tail rejection region. stat is ³small´ stat is ³large´ ‡ That is.Example ‡ The rejection region is set up so we can reject the null hypothesis when the test statistic is large or when it is small. so we divide this probability by 2. The total area in the rejection region must sum to . .

= .96 and our rejection region is: ‡ z < ±1. we have /2 = .96 -z.025.025 = 1.025 0 +z.96 -orz > 1. z.Example ‡ At a 5% significance level (i.05).e. Thus.025 z .

96 we cannot reject the null hypothesis in favor of H1.Example ‡ From the data. nor less than ±1.55 ‡ Using our standardized test statistic: ‡ We find that: ‡ Since z = 1.19 is not greater than 1. . ‡ There is insufficient evidence to infer that there is a difference between the bills of KPN and the competitor. we calculate = 17.96.

and Two-Tail Tests« One-Tail Test (left tail) Two-Tail Test One-Tail Test (right tail) .Summary of One.

± how the probability of a Type II error is calculated ± its interpretation.Probability of a Type II Error ± ‡ It is important that that we understand the relationship between Type I and Type II errors. ‡ Recall previous example H0: = 170 H1: > 170 ‡ At a significance level of 5% we rejected H0 in favor of H1 since our sample mean (178) was greater than the critical value of (175.34) .

we can see that: = P( < 175.34 given that the null hypothesis is false) . which means that we will not install the new billing system.34 (our critical value) we will not reject our null hypothesis.Probability of a Type II Error ± ‡ A Type II error occurs when a false null hypothesis is not rejected. ‡ In our example this means that if is less than 175. ‡ Thus.

given that = 180).34 given that the null hypothesis is false) ‡ We need to compute for some new value of . For example.Example ‡ = P( < 175.34. ‡ = P( < 175. thus« . suppose the true mean account balance is ¼180.

Example Our original hypothesis our new assumption .

Shifting the critical value line to the right (to decrease ) will mean a larger area under the lower curve for « (and vice versa) .Effects on of Changing . ‡ Consider this diagram again. increases the value of ‡ Decreasing the significance level and vice versa.

Judging the Test« ‡ A statistical test of hypothesis is effectively defined by the significance level ( ) and the sample size (n). ‡ Therefore. n. if the probability of a Type II error ( to be too large. and/or increasing the sample size. ) is judged . both of which are selected by the statistics practitioner. we can reduce it by increasing .

000« ‡ The probability of a Type II error ( level while remains at 5% ) goes to a negligible . suppose we increased n from a sample size of 400 account balances to 1.Judging the Test« ‡ For example.

‡ It represents the probability of rejecting the null hypothesis when it is false. .Judging the Test« ‡ The power of a test is defined as 1± .

F (POWER) F .Error Rates and Power (H0 and H1 = null and alternative hypothes) Fate of H0 Accept H0 Actually True H1 100 .E Reject E 100 .

Factors Affecting Power ‡ Increasing overall sample size increases power ‡ Having unequal group sizes usually reduces power ‡ Larger size of effect being tested increases power ‡ Setting lower significance level decreases power ‡ Violations of assumptions underlying test often decrease power substantially .

Exercises ‡ Exercises z-test (see word document) .

The t-test .

W2) population. .Recall t distribution. ‡ Take random sample of size n from a N(Q. X Q W n has a standard normal distribution. Thus this statistic will be more variable that a standard normal random variable. S is not expected to be close to W. ± This statistic follows a t distribution with n-1degrees of freedom. S introduces additional variability. S n ± This is approximately normal if n is large. ‡ Consider X Q . ± If n is small.

Then ± If W is known. a 100(1-E)% confidence interval for Q is.Confidence Intervals. x s tE / 2 (n  1) s n .   xsz /2 W n ± If W is not known. a 100(1-E)% confidence interval for Q is. ‡ Suppose that the population is normally distributed with mean Q and variance W2.

g. . one for a single sample and one for two samples. do training and control groups have the same mean. ‡ The one sample t-test is used to test whether a population has a specific mean value ‡ The two sample t-test is used to test whether population means are equal.Overview of the t-test ‡ The t-test is used to help make decisions about population values. ‡ There are two main forms of the t-test. e..

75/sqrt(50) = .025). . suppose we want to test whether the mean height of women at University of South Florida (USF) is less than 68 inches.63.05 plus/minus 1. alpha=0. Our confidence interval is. ‡We randomly sample 50 women students at USF.01(find this in a t-table. 63. For example. ‡The SD of height in the sample is 5. therefore.One-sample t-test We can use a confidence interval to ³test´ or decide whether a population mean has a given value.05 inches. The critical value of t with (50-1) df is 2. Then we find the standard error of the mean by dividing SD by sqrt(N) = 5. ‡We find that their mean height is 63.75 inches.81.

set a confidence interval around the sample mean.One-sample t-test example ne sample t test Confi ence inter al ei 10 N=50 8 Pop Mean = 68 M = 63.75 6 S X ! . Does the interval contain the hypothesized value? ¡ Hei t i I c es in Inc .01 4 Frequenc ci ! X s 1.05 SD=5.8 1 Histogram of Sample Height t=2.63 2 0 40 50 60 70 80 Take a sample.

very unlikely that we would find a sample with a mean as small as 63. it is very. .95 9 S X ! . If the population mean is really 68 inches.1 1 t ! .8 1 SX 6 Frequenc 3 0 62 Height in Inches 70 The sample mean is roughly six standard deviations (St. Errors) from the hypothesized population mean.9 5 X  Q ! !  6 .8 1  4 .One-sample t-test Example ne sample t test t istri ution iew 15 X ! 63.05 inches.05 12 Q ! 68 t istri ution X  Q ! 4.

g. old training method ‡ Tests whether group population means are the same. females ± New training vs. . ± Experimental vs. control group ± Males vs.Two-sample t-test ‡ Used when we have two groups. ± means are just the same or different (nondirectional) ± or can predict one group higher (directional). e..

the mean of the differences in the long run will be zero because the mean for both groups will be the same. . ‡We will then have a sampling distribution of mean differences. The standard deviation of the sampling distribution will be: 2 2 W X1  X 2 ! W X1  W X 2 The standard error of the difference is the root of the sum of squared standard errors of the mean.Sampling Distribution of Mean Differences ‡Suppose we sample 2 groups of size 50 at random from USF. Suppose we do this over and over. ‡Then we subtract the mean for group 1 from the mean for group 2. ‡If the two groups are sampled at random from 1 population. ‡We measure the height of each person and find the mean for each group.

for the difference in means. it is .85. What would the standard deviation of the distribution of differences be? SD 2 36 2 ! 100 WX ! N SD ! 6 / 10 ! .6.6 WX ! N W X1  X 2 ! W 2 X1 W 2 X2 36 36 72 !  ! ! .Example of the Standard Error of the Difference in Means Suppose that at USF the mean height is 68 inches and the standard deviation of height is 6 inches. We would expect that the average mean difference would be zero. .85 100 100 100 The standard error for each group mean is . Suppose we sampled people 100 at a time into two groups.

. thus: S X1  X 2 ! S  S S 2 2 here S X ! N 2 X1 2 X2 All this says is that we replace the population variance of error with the appropriate sample estimators. We usually estimate population values with sample data. That is: 2 2 W X1  X 2 ! W X1  W X 2 We generally don¶t have population values.Estimating the Standard Error of Mean Differences The USF scenario we just worked was based on population information.

When the sample sizes are not equal across groups. The pooled standard error is a weighted average. where the weights are the groups¶ degrees of freedom. S X1  X 2 2 (n1  1) s12  (n2  1) s2 ¨ 1 1 ¸ ©  ¹ ! (n1  1)  (n2  1) © n1 n2 ¹ ª º . we find the pooled standard error.Pooled Standard Error S X1  X 2 ! S  S 2 X1 2 X2 We can use this formula when the sample sizes for the two groups are equal.

Back to the Two-Sample t The formula for the two-sample t-test for independent samples looks like this: t X1  X 2 X1  X 2 ! S X1  X 2 This says we find the value of t by taking the difference in the two sample means and dividing by the standard error of the difference in means. .

So we find some (N=15) of each major and give each the test.Example of the two-sample t. No direction. The test has people view film clips and guess what people in the clips are feeling. we just want to know if there is a difference. . Scores come from comparing what people guess to what the people in the films said they felt at the time. Empathy by College Major Suppose we have a professionally developed test of empathy. We want to know whether Psychology majors have higher scores on average to this test than do Physics majors.

Empathy Scores Person 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 Psychology 10 12 13 10 8 15 13 14 10 12 10 12 13 10 8 Physics 8 14 12 8 12 9 10 11 12 13 8 14 12 8 12 .

78 .292+.09 4.38/15=.84 . n.59.05>.59 28 X1  X 2 ! S X1  X 2 Psychology 15 11.87 Sqrt(.78 15+15-2 2.33 2.87 2.s.33-10.46/.323 Result .05 Term X1  X 2 S X1  X 2 t df t(.46 .323) .05.292 Calculation 11.Empathy From data N Mean SD SD2 2 SX t X1  X 2 Physics 15 10. 28 df) 2 tail 2. .38 4.20 4.

Exercise ‡ Exercises t-test. see word document .

Chi-square .

« . . or theoretical. E3.Background: 1. . O2. Observed frequencies in each cell: O1. Expected.  k !n 1st bserved Frequency xpected Frequency 1 1 k ategories 2nd 3rd 2 2 3 3 . Each observation falls into a cell (or class). Sum of the observed frequencies is n. Ok. O3. Suppose there are n observations.  Ok ! n 4. . O1  O2  O3  . . frequencies: E1. kth k k Total n n . E2. . 2. 3. Ek. . 1  2  3 .

Compare the observed frequencies with the expected frequencies.Goal: 1. Decide whether the observed frequencies seem to agree or seem to disagree with the expected frequencies. 2. . Methodology: Use a chi-square statistic: (O  E ) 2 G2 ! § E all cells Small values of G2: Observed frequencies close to expected frequencies. Large values of G2: Observed frequencies do not agree with expected frequencies.

it is zero or positively valued. G2 is not symmetrical. G2 is distributed so as to form a family of distributions. then G2* has approximately a chi-square distribution. 2. G2 is nonnegative in value. it is skewed to the right. Recall: Properties of the Chi-Square Distribution: 1. 3. a separate distribution for each different number of degrees of freedom. .Sampling Distribution of G2*: When n is large and all expected frequencies are greater than or equal to 5.

E): critical value of a chi-square distribution with df degrees of freedom and E area to the right. 2. E 0 G 2 (df . 4. E ) G2 . G2(df. 3.Critical values for chi-square: 1. Identified by degrees of freedom (df) and the area under the curve to the right of the critical value. Chi-square distribution is not symmetrical: critical values associated with right and left tails are given separately. See Table.

0.3 .3 . / 16 / G2(16. 0. 0.05) G2 Portion of Table Area to the right df . 0.05 0 G 2 (16.0.05 26.Example: Find G2(16.05).05) = 26.

(O  E)2 G2 ! § 2. Use a one-tailed critical region. . 4. . . Expected frequencies: Ei ! n ™ pi 6. To ensure a good approximation to the chi-square distribution: Each expected frequency should be at least 5 ( Ei u 5). Degrees of freedom: df = k  1. 5. the right-hand tail.Testing Procedure: 1. . p2. Ha: At least two probabilities are incorrect. H0: The probabilities p1. Test statistic: E all cells 3. pk are correct. .

or did they indicate each cereal was equally likely to be selected? Use E = 0. The results are given in the following table: Cereal Frequency A 25 B 17 C 15 D 22 E 21 Total 100 Is there any evidence to suggest the consumers had a preference for one cereal.Example: A market research firm conducted a consumer-preference experiment to determine which of 5 new breakfast cereals was the most appealing to adults.05. A sample of 100 consumers tried each cereal and indicated the cereal he or she preferred. .

b. b. Test statistic: G2* with df = k  1 = 5  1 = 4 c.05.2) = 20 consumers in each class. we expect (100)(0. Population parameter of concern: Preference for each cereal. The null and alternative hypotheses: H0: There was no preference shown (equally distributed). Assumptions: The 100 consumers represent a random sample. The Hypothesis Test Criteria: a. 1. The Set-up: a. we expect the 100 consumers to be equally distributed among the 5 cereals.Solution: If no preference was shown. 2. Thus. Ha: There was a preference shown (not equally distributed). Level of significance: E = 0. the probability that a particular cereal is selected. . if no preference is given.

45 1.3. Sample information: Table given in the statement of the problem. The Sample Evidence: a. Calculate the value of the test statistic: O 25 17 15 22 21 100 G2 = 3.2 E 20 20 20 20 20 100 O E 5 -3 -5 2 1 0 (O E )2/E 1.05 3.25 0. b.25 0.20 0.20 .

2 | df ! 4).05 level of significance. b. The Probability Distribution (p-Value Approach): a. 0. G2* is not in the critical region.05) = G2(4. Decision: Fail to reject H0. The Probability Distribution (Classical Approach): a.05) = 9.49 b.4. 5. The p-value is larger than the level of significance. The p-value: ! P ( G 2 * " 3. 0. E. . Conclusion: At the 0. Critical value: G2(k  1. 6. there is no evidence to suggest the consumers showed a preference for any one cereal. b. Using computer: P = 0.5429. The Results: a.

. 6. Cc: marginal totals. Used to test the independence of the row factor and the column factor. j Row total v Column tot al Ri v C j ! ! n Grand total Each Ei.r v c Contingency Table: 1. R1. C2. 5. 2. Rr and C1. . r: number of rows. . . . . Degrees of freedom: d ! ( r  1) ™ (c  1) n = grand total. . R2. Ei . Expected frequency in the ith row and the jth column: 3. c: number of columns. .j should be at least 5. 4.

59) 10 16 15 41 (17.03) (12.25) (11.Contingency table showing sample results and expected values: Tax Reform Yes No Unsure Total Political Party Democrat Republican Independent Total 34 11 12 57 (23.77) (12.72) 61 39 45 145 (O  E ) 2 G *! § ! 14.64) (14.33) (17.69) 17 12 18 47 (19.16 E all cells 2 .98) (15.

The p-value is smaller than the level of significance.3 b. The p-value: ! P ( G 2 * " 14.0068. The Results: a. The Probability Distribution (Classical Approach): a. Critical value: G2(4. E.01) = 13. . G2* is in the critical region. 4. b. 5. 0. Decision: Reject H0. The Probability Distribution (p-Value Approach): a.16 | df ! 4) By computer: P = 0. Conclusion: There is evidence to suggest that opinion on tax reform and political party are not independent.4. b.

ANOVA Analysis of Variance .

that we wish to know about the relative effect of three or more different ³treatments´? . ‡ Suppose. you learned how to use the t distribution to test the hypothesis of no difference between two population means.From t to F« ‡ In the independent samples t test. however.

this method is inadequate in several ways. . ± Any statistic that is based on only part of the evidence (as is the case when any two groups are compared) is less stable than one based on all of the evidence. ± It is tedious to compare all possible combinations of groups. ± There are so many comparisons that some will be significant by chance.From t to F« ‡ We could use the t test to make comparisons among each possible combination of two means. ‡ However.

‡ Such an overall test of significance is the F test. or the analysis of variance. or ANOVA. there will be no point in searching further. .From t to F« ‡ What we need is some kind of survey test that will tell us whether there is any significant difference anywhere in an array of categories. ‡ If it tells us no.

± Among other reasons. . you are asking about the variances among those means. you focus on variances because when you want to know how several means differ.The logic of ANOVA ‡ Hypothesis testing in ANOVA is about whether the means of the samples differ more than you would expect if the null hypothesis were true. ‡ This question about means is answered by analyzing variances.

Two Sources of Variability
‡ In ANOVA, an estimate of variability between groups is compared with variability within groups. ± Between-group variation is the variation among the means of the different treatment conditions due to chance (random sampling error) and treatment effects, if any exist. ± Within-group variation is the variation due to chance (random sampling error) among individuals given the same treatment.

ANOVA
Total Variation Among Scores

Within Groups Variation Variation due to chance.

Between Groups Variation Variation due to chance and treat ent effect (if any exi ti .

Variability Between Groups

‡ There is a lot of variability from one mean to the next. ‡ Large differences between means probably are not due to chance. ‡ It is difficult to imagine that all six groups are random samples taken from the same population. ‡ The null hypothesis is rejected, indicating a treatment effect in at least one of the groups.

Variability Within Groups

‡ Same amount of variability between group means. ‡ However, there is more variability within each group. ‡ The larger the variability within each group, the less confident we can be that we are dealing with samples drawn from different populations.

The F Ratio

Between GroupVariability F! Within GroupVariability

ANOVA (F)
Total Variation Among Scores Within- roups Variation Variation due to chance. Between- roups Variation Variation due to chance and treatment effect (if any existis).

Two Sources of Variability
Variabilit y Bet een Groups ! Variabilit y Within Groups

F

1

Two Sources of Variability
Variabilit y Bet een Groups ! Variabilit y Within Groups

F !1

The F Ratio

ANOVA (F)
Total Variation Among Scores Within- roups Variation Variation due to chance. Between- roups Variation Variation due to chance and treatment effect (if any existis).

Mean Squares Within

Mean Squares Between

MSbetween F! MSwithin

mean squares between mean squares within

The F Ratio

MSbetween F! MSwithin
sum of squares within sum of squares between

MSwithin

SSwithin ! dfwithin

MSbetween

SSbetween ! df between

degrees of freedom within

degrees of freedom between

s !

2

§(X  X)
n 1

2

Sum of Squares Degrees of Freedom

The F Ratio MSbetween F! MSwithin MSwithin SSwithin ! dfwithin sum of squares total MSbetween SSbetween ! df between SStotal ! SSbetween  SSwithin degrees of freedom total dftotal ! dfbetween  dfwithin .

square it. and divide by the number of Grand Total (add all of the subjects in the group. scores together.The F Ratio: SS Between SS between ! n7( X group  X grand ) 2 SS bet Find each group total. . then 2 2 T G square the total) een !7 n  N Total number of subjects.

. 2 SS within ! 7X  7 2 Squared group total.The F Ratio: SS Within 2 SS within ! 7( X  X group ) Square each individual score and then add up all of the squared scores. n Number of subjects in each group.

then add all of the squared scores together. . then square the total) Square each score. Total number of subjects.The F Ratio: SS Total SS total ! 7( X  X grand ) 2 ! ( X group  X grand )  ( X  X group ) SStotal G ! §X  N 2 2 Grand Total (add all of the scores together.

An Example: ANOVA ‡ A study compared the intensity of pain among three groups of treatment.05 level of significance. Treatment 1 7 6 5 6 Treatment 2 12 8 9 11 Treatment 3 8 10 12 10 . using the . ‡ Determine the significance of the difference among groups.

.An Example: ANOVA ‡ State the research hypothesis. ± Do ratings of the intensity of pain differ for the three treatments? ‡ State the statistical hypothesis. H 0 : Q1 ! Q 2 ! Q3 H A : H 0 is false.

‡ A directional test is possible only in situations where there are only two ways (directions) that the null hypothesis could be false. all may be different. . and so on. a distinction was made between directional and nondirectional alternative hypotheses. ‡ H0 may be false in any number of ways. ‡ Such a distinction no longer makes sense when the number of means exceeds two. ± Two or more group means may be alike and the remainder differ.Nondirectional Test ‡ In testing the hypothesis of no difference between two means.

..1 ‡ Within: df within ! n1  1  n 2  1  n3  1.Degrees of Freedom ‡ Between: df between ! number o groups .total number o groups . df within ! total number o sub ects .

05 df between ! number o groups  1 ! 3  1 ! 2 df within ! ( n1  1)  ( n 2  1)  ( n3  1) ! ( 4  1)  ( 4  1)  ( 4  1) ! 9 . E ! .An Example: ANOVA ‡ Set decision rule.

26 . E ! .05 df between ! 2 df within ! 9 Fcrit ! 4.An Example: ANOVA ‡ Set the decision rule.

An Example: ANOVA ‡ Calculate the test statistic. Treatment A 7 6 5 6 T:24 49 36 25 36 146 X2 Treatment B 12 8 9 11 T:40 144 64 81 121 410 X2 Treatment C 8 10 12 10 T:40 64 100 144 100 408 X2 SS within T2 ! 7X  7 n 2 Grand Total: 104 SS within « 24 2 40 2 40 2 » ! 146  410  408  ¬   144 ¼ ! 964  ?  400  400A ! 20 4 4 4 ½ ­ .

Treatment A 7 6 5 6 T:24 49 36 25 36 146 X2 Treatment B 12 8 9 11 T:40 144 64 81 121 410 X2 Treatment C 8 10 12 10 T:40 64 100 144 100 408 X2 SS between T 2 G2 !7  n N Grand Total: 104 SS between 24 2 40 2 40 2 (104) 2 !    ! 144  400  400  901.67 4 4 4 12 .An Example: ANOVA ‡ Calculate the test statistic.33 ! 42.

An Example: ANOVA MS between ! MS within MS between MS within SS between 42.67 ! ! ! 21.61 MS within 2.22 df within 9 MS between 21.22 .34 df between 2 SS within 20 ! ! ! 2.34 ! ! ! 9.

61>4. Source Between Groups Within Groups Total df 2 9 11 SS 42. ± There is a significant difference between the treatments.26 ‡ Interpret your results.An Example: ANOVA ‡ Determine if your result is significant.67 20 62.67 MS 21. ± Reject H0. 9.22 F 9.34 2. the ANOVA results are often summarized in a table. ‡ ANOVA Summary Table ± In the literature.61 .

we know.After the F Test ‡ When an F turns out to be significant. . with some degree of confidence. that there is a real difference somewhere among our means. ‡ But if there are more than two groups. we don¶t know where that difference is. ‡ Post hoc tests have been designed for doing pair-wise comparisons after a significant F is obtained.

± The 5 participants in the ³famous´ condition are led to believe that these are each famous paintings.Exercise 6: ANOVA A psychologist interested in artistic preference randomly assigns a group of 15 subjects to one of three conditions in which they view a series of unfamiliar abstract paintings. ± The 5 participants in the ³critically acclaimed´ condition are led to believe that these are paintings that are not famous but are highly thought of by a group of professional art critics. Famous 10 7 5 10 8 Critically Acclaimed 5 1 3 7 4 No Information 4 6 9 3 3 . Does what people are told about paintings make a difference in how well they are liked? Use the . ± The 5 in the control condition are given no special information about the paintings.01 level of significance.

Linear models .

n. i=1.yi}..Review linear regression Simplest form Fit a straight line through data points {xi . n>2 y = a*x + b x = predictor y = predicted value (outcome) a = slope b= y-axes intercept Goal: determine parameters a.b ...

Review linear regression Find values for a and b such that sum of squared error is minimized .

Review linear regression Predicted values y*=ax+b Measurments y n minimize R ( a. b) ! §(y i !1 n i !1 * i  yi ) 2 ! § ((axi  b)  yi ) 2 A minimum of a function (R) is characterized by a zero first derivative with respect to the parameters .

2 dx dy x !0  ! 2 ™ (0) ! 0 dx .1) ! 2.1   ! 2 ™ (1.Intermezzo: minimum of function dy ! 2x y!x   dx dy min y   ! 2x ! 0 dx  x!0 2 dy x ! 1.

Review linear regression A minimum of a function (R) is characterized by a zero first derivative with respect to the parameters this provides the parameter values for the model function .

b) ! § ((axi  b )  yi ) i !1 n 2 x ( a. b) n ! § ( axi  b  yi )xi ! 0 xa i !1 x ( a.Review linear regression minimize (a. b) n ! § ( axi  b  yi ) ! 0 xb i !1 a Explicit expressions for parameters a and b!! .

Linear and nonlinear models 1 ‡ (non) linear in the parameters ( . ) ‡ Examples of linear models y= + x (linear) y= + x+ x2 (polynomial) y= + log(x) (log) . .

Example: y ! 2 x  ax 2 y varies linear with a for fixed x .

Example: y ! a log( x) y varies linear with a for fixed x .

Linear and nonlinear models 2 y= + 1x1 + 2x2 + -linear model (in parameters) -y is linear combination of x¶s 0 F1 2 y ! F 0   F 2 x2 x1 -y is not a linear combination of x¶s -linear in the parameters -We can use MLR if variables are transformed x1¶=1/x1 x2¶=x2 y = 0 + 1x1¶ + 2x2¶ + .

Linear and nonlinear models 3 ‡ Models like y!e F0  F1 x cannot be linearized and must be solved with nonlinear regression techniques .

Linear and nonlinear models 4 ‡ Nonlinear model: At least one of the derivatives of the function wrt the parameters depends on at least one of the parameters (thus. slope of line at fixed x is not constant) y ! e F0  F1x dy ! xe F0  F1x d F1 Nonlinear model y = log(x) dy/d = log(x) Linear model y = 0 + 1x1 + dy/d 1 = x1 Linear model 2x 2 .

Significance testing and multiple testing correction .

05 threshold. but you repeat the test on twenty different observations.05? .Multiple testing ‡ Say that you perform a statistical test with a 0. ‡ What is the chance that at least one of the observations will receive a p-value less than 0. ‡ Assume that all of the observations are explainable by the null hypothesis.

05? ‡ ‡ ‡ ‡ ‡ Pr(making a mistake) = 0.05 threshold.0.2% chance of making at least one mistake.9520 = 0.95 Pr(not making any mistake) = 0.05 Pr(not making a mistake) = 0.Multiple testing Say that you perform a statistical test with a 0.642 There is a 64. what is the chance that at least one of the observations will receive a p-value less than 0. .358 = 0.358 Pr(making at least one mistake) = 1 . Assuming that all of the observations are explainable by the null hypothesis. but you repeat the test on twenty different observations.

. Thus only 5% of making wrong decision. They are willing to accept an Type 1 error of 5%.05) 100 candy bars 100 candy bars 5% change of finding a difference Suppose the company is required to do an expensive tuning of process 2 if a difference is found.Percentage sugar in candy (process 1) Percentage sugar in candy (process 2) no difference statistical test (alpha=0.

2% Day 20 statistical test (alpha=0.2% of finding at least one significant difference Overall Type 1 error = 64.05) Change of 64.05) statistical test (alpha=0.Percentage sugar in candy (process 1) Percentage sugar in candy (process 2) no difference Day 1 Day 2 statistical test (alpha=0.05) .

Bonferroni correction ‡ ‡ ‡ ‡ ‡ ‡ ‡ Assume that individual tests are independent. It is clear though that this highly increases the beta error (false negative). Pr(making a mistake) = 0.9975 Pr(not making any mistake) = 0.0025.9512 = 0.0488 «meaning that the probability of one of the total number of tests being wrongfully said to be significantly different is of magnitude alpha (0. 0. .05 / 20 = 0. For the previous example.9512 Pr(making at least one mistake) = 1 .0.0025 Pr(not making a mistake) = 0. which is that many tests that should show an effect get below the corrected threshold. Divide the desired p-value threshold by the number of tests performed.0488) This is also known as correcting for the Family Wise Error (FWE).997520 = 0.

0025) Change of 4.88% Day 20 statistical test (alpha=0.Percentage sugar in candy (process 1) Percentage sugar in candy (process 2) no difference Day 1 Day 2 statistical test (alpha=0.0025) statistical test (alpha=0.88% of finding at least one significant difference Overall Type 1 error = 4.0025) .

Multiple comparison # of nonrejected hypotheses #Ho = true U # of rejected hypotheses V (false positives) m0 # Ho = false T (false negatives) S m1 m-R R ³discoveries´ m .2.

The False Discovery Rate (FDR) criterion Benjamini and Hochberg R = # rejected hypotheses = # discoveries of these may be in error = # false discoveries The error (type I) in the entire study is measured by V Q! R !0 R"0 R!0 i. the proportion of false discoveries among the discoveries (0 if none found) FDR = E(Q) Does it make sense? .e.

bearable ‡ 3 false ones among 4 discovered .Does it make sense? Inspecting 100 features: ‡ 3 false ones among 60 discovered .unbearable So this error rate is adaptive The same argument holds when inspecting 10.000 So this error rate is scalable .

.FDR controlling proceures.. Linear step up procedure (BH procedure.. 0 2) . FDR procedure) ‡ ‡ ‡ ‡ Order the p-values P(1) ” P(2) ”«” P(m) Let k ! ax{i:p(i) e(i / m)q} 0 1) Reject .. 0 k) If no such k exists reject none .

00025 0.0000056 0.00010 0.0000000 ‡ Choose the threshold so that.00050 0.00015 0.0000013 0.0000945 0.05 m=1000 Rank 1 2 3 4 5 6 7 8 9 10 « 1000 (j )/m 0.0000078 0.FDR example q=0.0000235 0.0004700 0. for all the genes above it.0002450 .0000012 0.05000 p-value 0.00045 0. ‡ Approximately 5% of the examples above the line are expected to be false positives.00030 0.0000008 0.00020 0. Thus. effective p-value threshold is 0. (jq)/m is larger than the corresponding pvalue.00040 0.00005 0.0008900 1.00035 0.0002450 0.

‡ The FDR is very different from a p-value. Meanwhile an FDR of as high as . .3 is generally unacceptabe in any circumstance. For example if the algorithm returns 100 genes with a false discovery rate of . especially if there are thousands of genes on the array most of which are not differentially expressed.5 or even higher might be quite meaningful.FDR and p-value ‡ The False Discovery Rate (FDR) of a set of predictions is the expected percent of false predictions in the set of predictions. In contrast p-value of .3 then we should expect 70 of them to be correct. and as such a much higher FDR can be tolerated than with a p-value. In the example above a set of 100 predictions of which 70 are correct might be very useful.

gene discovery). selecting candidate genes for RTPCR validation). .g. Choose FWER if high confidence in ³ALL´ selected genes is desired (for example.False discovery rate When to use FWER and when to use FDR? FWER=Pr(V>0)=Pr(at least one false positives) FDR=E(Q)=E(V/R) 1. Loss of power due to strong control of type-I error. Use more flexible FDR procedures if certain proportions of false positives are tolerable (e. 2.

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