| /* |
| * Licensed to the Apache Software Foundation (ASF) under one or more |
| * contributor license agreements. See the NOTICE file distributed with |
| * this work for additional information regarding copyright ownership. |
| * The ASF licenses this file to You under the Apache License, Version 2.0 |
| * (the "License"); you may not use this file except in compliance with |
| * the License. You may obtain a copy of the License at |
| * |
| * http://www.apache.org/licenses/LICENSE-2.0 |
| * |
| * Unless required by applicable law or agreed to in writing, software |
| * distributed under the License is distributed on an "AS IS" BASIS, |
| * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. |
| * See the License for the specific language governing permissions and |
| * limitations under the License. |
| */ |
| package org.apache.commons.math.stat.inference; |
| |
| import org.apache.commons.math.MathException; |
| import org.apache.commons.math.MathRuntimeException; |
| import org.apache.commons.math.distribution.TDistribution; |
| import org.apache.commons.math.distribution.TDistributionImpl; |
| import org.apache.commons.math.exception.util.LocalizedFormats; |
| import org.apache.commons.math.stat.StatUtils; |
| import org.apache.commons.math.stat.descriptive.StatisticalSummary; |
| import org.apache.commons.math.util.FastMath; |
| |
| /** |
| * Implements t-test statistics defined in the {@link TTest} interface. |
| * <p> |
| * Uses commons-math {@link org.apache.commons.math.distribution.TDistributionImpl} |
| * implementation to estimate exact p-values.</p> |
| * |
| * @version $Revision: 1042336 $ $Date: 2010-12-05 13:40:48 +0100 (dim. 05 déc. 2010) $ |
| */ |
| public class TTestImpl implements TTest { |
| |
| /** Distribution used to compute inference statistics. |
| * @deprecated in 2.2 (to be removed in 3.0). |
| */ |
| @Deprecated |
| private TDistribution distribution; |
| |
| /** |
| * Default constructor. |
| */ |
| public TTestImpl() { |
| this(new TDistributionImpl(1.0)); |
| } |
| |
| /** |
| * Create a test instance using the given distribution for computing |
| * inference statistics. |
| * @param t distribution used to compute inference statistics. |
| * @since 1.2 |
| * @deprecated in 2.2 (to be removed in 3.0). |
| */ |
| @Deprecated |
| public TTestImpl(TDistribution t) { |
| super(); |
| setDistribution(t); |
| } |
| |
| /** |
| * Computes a paired, 2-sample t-statistic based on the data in the input |
| * arrays. The t-statistic returned is equivalent to what would be returned by |
| * computing the one-sample t-statistic {@link #t(double, double[])}, with |
| * <code>mu = 0</code> and the sample array consisting of the (signed) |
| * differences between corresponding entries in <code>sample1</code> and |
| * <code>sample2.</code> |
| * <p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The input arrays must have the same length and their common length |
| * must be at least 2. |
| * </li></ul></p> |
| * |
| * @param sample1 array of sample data values |
| * @param sample2 array of sample data values |
| * @return t statistic |
| * @throws IllegalArgumentException if the precondition is not met |
| * @throws MathException if the statistic can not be computed do to a |
| * convergence or other numerical error. |
| */ |
| public double pairedT(double[] sample1, double[] sample2) |
| throws IllegalArgumentException, MathException { |
| checkSampleData(sample1); |
| checkSampleData(sample2); |
| double meanDifference = StatUtils.meanDifference(sample1, sample2); |
| return t(meanDifference, 0, |
| StatUtils.varianceDifference(sample1, sample2, meanDifference), |
| sample1.length); |
| } |
| |
| /** |
| * Returns the <i>observed significance level</i>, or |
| * <i> p-value</i>, associated with a paired, two-sample, two-tailed t-test |
| * based on the data in the input arrays. |
| * <p> |
| * The number returned is the smallest significance level |
| * at which one can reject the null hypothesis that the mean of the paired |
| * differences is 0 in favor of the two-sided alternative that the mean paired |
| * difference is not equal to 0. For a one-sided test, divide the returned |
| * value by 2.</p> |
| * <p> |
| * This test is equivalent to a one-sample t-test computed using |
| * {@link #tTest(double, double[])} with <code>mu = 0</code> and the sample |
| * array consisting of the signed differences between corresponding elements of |
| * <code>sample1</code> and <code>sample2.</code></p> |
| * <p> |
| * <strong>Usage Note:</strong><br> |
| * The validity of the p-value depends on the assumptions of the parametric |
| * t-test procedure, as discussed |
| * <a href="http://www.basic.nwu.edu/statguidefiles/ttest_unpaired_ass_viol.html"> |
| * here</a></p> |
| * <p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The input array lengths must be the same and their common length must |
| * be at least 2. |
| * </li></ul></p> |
| * |
| * @param sample1 array of sample data values |
| * @param sample2 array of sample data values |
| * @return p-value for t-test |
| * @throws IllegalArgumentException if the precondition is not met |
| * @throws MathException if an error occurs computing the p-value |
| */ |
| public double pairedTTest(double[] sample1, double[] sample2) |
| throws IllegalArgumentException, MathException { |
| double meanDifference = StatUtils.meanDifference(sample1, sample2); |
| return tTest(meanDifference, 0, |
| StatUtils.varianceDifference(sample1, sample2, meanDifference), |
| sample1.length); |
| } |
| |
| /** |
| * Performs a paired t-test evaluating the null hypothesis that the |
| * mean of the paired differences between <code>sample1</code> and |
| * <code>sample2</code> is 0 in favor of the two-sided alternative that the |
| * mean paired difference is not equal to 0, with significance level |
| * <code>alpha</code>. |
| * <p> |
| * Returns <code>true</code> iff the null hypothesis can be rejected with |
| * confidence <code>1 - alpha</code>. To perform a 1-sided test, use |
| * <code>alpha * 2</code></p> |
| * <p> |
| * <strong>Usage Note:</strong><br> |
| * The validity of the test depends on the assumptions of the parametric |
| * t-test procedure, as discussed |
| * <a href="http://www.basic.nwu.edu/statguidefiles/ttest_unpaired_ass_viol.html"> |
| * here</a></p> |
| * <p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The input array lengths must be the same and their common length |
| * must be at least 2. |
| * </li> |
| * <li> <code> 0 < alpha < 0.5 </code> |
| * </li></ul></p> |
| * |
| * @param sample1 array of sample data values |
| * @param sample2 array of sample data values |
| * @param alpha significance level of the test |
| * @return true if the null hypothesis can be rejected with |
| * confidence 1 - alpha |
| * @throws IllegalArgumentException if the preconditions are not met |
| * @throws MathException if an error occurs performing the test |
| */ |
| public boolean pairedTTest(double[] sample1, double[] sample2, double alpha) |
| throws IllegalArgumentException, MathException { |
| checkSignificanceLevel(alpha); |
| return pairedTTest(sample1, sample2) < alpha; |
| } |
| |
| /** |
| * Computes a <a href="http://www.itl.nist.gov/div898/handbook/prc/section2/prc22.htm#formula"> |
| * t statistic </a> given observed values and a comparison constant. |
| * <p> |
| * This statistic can be used to perform a one sample t-test for the mean. |
| * </p><p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The observed array length must be at least 2. |
| * </li></ul></p> |
| * |
| * @param mu comparison constant |
| * @param observed array of values |
| * @return t statistic |
| * @throws IllegalArgumentException if input array length is less than 2 |
| */ |
| public double t(double mu, double[] observed) |
| throws IllegalArgumentException { |
| checkSampleData(observed); |
| return t(StatUtils.mean(observed), mu, StatUtils.variance(observed), |
| observed.length); |
| } |
| |
| /** |
| * Computes a <a href="http://www.itl.nist.gov/div898/handbook/prc/section2/prc22.htm#formula"> |
| * t statistic </a> to use in comparing the mean of the dataset described by |
| * <code>sampleStats</code> to <code>mu</code>. |
| * <p> |
| * This statistic can be used to perform a one sample t-test for the mean. |
| * </p><p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li><code>observed.getN() > = 2</code>. |
| * </li></ul></p> |
| * |
| * @param mu comparison constant |
| * @param sampleStats DescriptiveStatistics holding sample summary statitstics |
| * @return t statistic |
| * @throws IllegalArgumentException if the precondition is not met |
| */ |
| public double t(double mu, StatisticalSummary sampleStats) |
| throws IllegalArgumentException { |
| checkSampleData(sampleStats); |
| return t(sampleStats.getMean(), mu, sampleStats.getVariance(), |
| sampleStats.getN()); |
| } |
| |
| /** |
| * Computes a 2-sample t statistic, under the hypothesis of equal |
| * subpopulation variances. To compute a t-statistic without the |
| * equal variances hypothesis, use {@link #t(double[], double[])}. |
| * <p> |
| * This statistic can be used to perform a (homoscedastic) two-sample |
| * t-test to compare sample means.</p> |
| * <p> |
| * The t-statisitc is</p> |
| * <p> |
| * <code> t = (m1 - m2) / (sqrt(1/n1 +1/n2) sqrt(var))</code> |
| * </p><p> |
| * where <strong><code>n1</code></strong> is the size of first sample; |
| * <strong><code> n2</code></strong> is the size of second sample; |
| * <strong><code> m1</code></strong> is the mean of first sample; |
| * <strong><code> m2</code></strong> is the mean of second sample</li> |
| * </ul> |
| * and <strong><code>var</code></strong> is the pooled variance estimate: |
| * </p><p> |
| * <code>var = sqrt(((n1 - 1)var1 + (n2 - 1)var2) / ((n1-1) + (n2-1)))</code> |
| * </p><p> |
| * with <strong><code>var1<code></strong> the variance of the first sample and |
| * <strong><code>var2</code></strong> the variance of the second sample. |
| * </p><p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The observed array lengths must both be at least 2. |
| * </li></ul></p> |
| * |
| * @param sample1 array of sample data values |
| * @param sample2 array of sample data values |
| * @return t statistic |
| * @throws IllegalArgumentException if the precondition is not met |
| */ |
| public double homoscedasticT(double[] sample1, double[] sample2) |
| throws IllegalArgumentException { |
| checkSampleData(sample1); |
| checkSampleData(sample2); |
| return homoscedasticT(StatUtils.mean(sample1), StatUtils.mean(sample2), |
| StatUtils.variance(sample1), StatUtils.variance(sample2), |
| sample1.length, sample2.length); |
| } |
| |
| /** |
| * Computes a 2-sample t statistic, without the hypothesis of equal |
| * subpopulation variances. To compute a t-statistic assuming equal |
| * variances, use {@link #homoscedasticT(double[], double[])}. |
| * <p> |
| * This statistic can be used to perform a two-sample t-test to compare |
| * sample means.</p> |
| * <p> |
| * The t-statisitc is</p> |
| * <p> |
| * <code> t = (m1 - m2) / sqrt(var1/n1 + var2/n2)</code> |
| * </p><p> |
| * where <strong><code>n1</code></strong> is the size of the first sample |
| * <strong><code> n2</code></strong> is the size of the second sample; |
| * <strong><code> m1</code></strong> is the mean of the first sample; |
| * <strong><code> m2</code></strong> is the mean of the second sample; |
| * <strong><code> var1</code></strong> is the variance of the first sample; |
| * <strong><code> var2</code></strong> is the variance of the second sample; |
| * </p><p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The observed array lengths must both be at least 2. |
| * </li></ul></p> |
| * |
| * @param sample1 array of sample data values |
| * @param sample2 array of sample data values |
| * @return t statistic |
| * @throws IllegalArgumentException if the precondition is not met |
| */ |
| public double t(double[] sample1, double[] sample2) |
| throws IllegalArgumentException { |
| checkSampleData(sample1); |
| checkSampleData(sample2); |
| return t(StatUtils.mean(sample1), StatUtils.mean(sample2), |
| StatUtils.variance(sample1), StatUtils.variance(sample2), |
| sample1.length, sample2.length); |
| } |
| |
| /** |
| * Computes a 2-sample t statistic </a>, comparing the means of the datasets |
| * described by two {@link StatisticalSummary} instances, without the |
| * assumption of equal subpopulation variances. Use |
| * {@link #homoscedasticT(StatisticalSummary, StatisticalSummary)} to |
| * compute a t-statistic under the equal variances assumption. |
| * <p> |
| * This statistic can be used to perform a two-sample t-test to compare |
| * sample means.</p> |
| * <p> |
| * The returned t-statisitc is</p> |
| * <p> |
| * <code> t = (m1 - m2) / sqrt(var1/n1 + var2/n2)</code> |
| * </p><p> |
| * where <strong><code>n1</code></strong> is the size of the first sample; |
| * <strong><code> n2</code></strong> is the size of the second sample; |
| * <strong><code> m1</code></strong> is the mean of the first sample; |
| * <strong><code> m2</code></strong> is the mean of the second sample |
| * <strong><code> var1</code></strong> is the variance of the first sample; |
| * <strong><code> var2</code></strong> is the variance of the second sample |
| * </p><p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The datasets described by the two Univariates must each contain |
| * at least 2 observations. |
| * </li></ul></p> |
| * |
| * @param sampleStats1 StatisticalSummary describing data from the first sample |
| * @param sampleStats2 StatisticalSummary describing data from the second sample |
| * @return t statistic |
| * @throws IllegalArgumentException if the precondition is not met |
| */ |
| public double t(StatisticalSummary sampleStats1, |
| StatisticalSummary sampleStats2) |
| throws IllegalArgumentException { |
| checkSampleData(sampleStats1); |
| checkSampleData(sampleStats2); |
| return t(sampleStats1.getMean(), sampleStats2.getMean(), |
| sampleStats1.getVariance(), sampleStats2.getVariance(), |
| sampleStats1.getN(), sampleStats2.getN()); |
| } |
| |
| /** |
| * Computes a 2-sample t statistic, comparing the means of the datasets |
| * described by two {@link StatisticalSummary} instances, under the |
| * assumption of equal subpopulation variances. To compute a t-statistic |
| * without the equal variances assumption, use |
| * {@link #t(StatisticalSummary, StatisticalSummary)}. |
| * <p> |
| * This statistic can be used to perform a (homoscedastic) two-sample |
| * t-test to compare sample means.</p> |
| * <p> |
| * The t-statisitc returned is</p> |
| * <p> |
| * <code> t = (m1 - m2) / (sqrt(1/n1 +1/n2) sqrt(var))</code> |
| * </p><p> |
| * where <strong><code>n1</code></strong> is the size of first sample; |
| * <strong><code> n2</code></strong> is the size of second sample; |
| * <strong><code> m1</code></strong> is the mean of first sample; |
| * <strong><code> m2</code></strong> is the mean of second sample |
| * and <strong><code>var</code></strong> is the pooled variance estimate: |
| * </p><p> |
| * <code>var = sqrt(((n1 - 1)var1 + (n2 - 1)var2) / ((n1-1) + (n2-1)))</code> |
| * <p> |
| * with <strong><code>var1<code></strong> the variance of the first sample and |
| * <strong><code>var2</code></strong> the variance of the second sample. |
| * </p><p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The datasets described by the two Univariates must each contain |
| * at least 2 observations. |
| * </li></ul></p> |
| * |
| * @param sampleStats1 StatisticalSummary describing data from the first sample |
| * @param sampleStats2 StatisticalSummary describing data from the second sample |
| * @return t statistic |
| * @throws IllegalArgumentException if the precondition is not met |
| */ |
| public double homoscedasticT(StatisticalSummary sampleStats1, |
| StatisticalSummary sampleStats2) |
| throws IllegalArgumentException { |
| checkSampleData(sampleStats1); |
| checkSampleData(sampleStats2); |
| return homoscedasticT(sampleStats1.getMean(), sampleStats2.getMean(), |
| sampleStats1.getVariance(), sampleStats2.getVariance(), |
| sampleStats1.getN(), sampleStats2.getN()); |
| } |
| |
| /** |
| * Returns the <i>observed significance level</i>, or |
| * <i>p-value</i>, associated with a one-sample, two-tailed t-test |
| * comparing the mean of the input array with the constant <code>mu</code>. |
| * <p> |
| * The number returned is the smallest significance level |
| * at which one can reject the null hypothesis that the mean equals |
| * <code>mu</code> in favor of the two-sided alternative that the mean |
| * is different from <code>mu</code>. For a one-sided test, divide the |
| * returned value by 2.</p> |
| * <p> |
| * <strong>Usage Note:</strong><br> |
| * The validity of the test depends on the assumptions of the parametric |
| * t-test procedure, as discussed |
| * <a href="http://www.basic.nwu.edu/statguidefiles/ttest_unpaired_ass_viol.html">here</a> |
| * </p><p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The observed array length must be at least 2. |
| * </li></ul></p> |
| * |
| * @param mu constant value to compare sample mean against |
| * @param sample array of sample data values |
| * @return p-value |
| * @throws IllegalArgumentException if the precondition is not met |
| * @throws MathException if an error occurs computing the p-value |
| */ |
| public double tTest(double mu, double[] sample) |
| throws IllegalArgumentException, MathException { |
| checkSampleData(sample); |
| return tTest( StatUtils.mean(sample), mu, StatUtils.variance(sample), |
| sample.length); |
| } |
| |
| /** |
| * Performs a <a href="http://www.itl.nist.gov/div898/handbook/eda/section3/eda353.htm"> |
| * two-sided t-test</a> evaluating the null hypothesis that the mean of the population from |
| * which <code>sample</code> is drawn equals <code>mu</code>. |
| * <p> |
| * Returns <code>true</code> iff the null hypothesis can be |
| * rejected with confidence <code>1 - alpha</code>. To |
| * perform a 1-sided test, use <code>alpha * 2</code> |
| * </p><p> |
| * <strong>Examples:</strong><br><ol> |
| * <li>To test the (2-sided) hypothesis <code>sample mean = mu </code> at |
| * the 95% level, use <br><code>tTest(mu, sample, 0.05) </code> |
| * </li> |
| * <li>To test the (one-sided) hypothesis <code> sample mean < mu </code> |
| * at the 99% level, first verify that the measured sample mean is less |
| * than <code>mu</code> and then use |
| * <br><code>tTest(mu, sample, 0.02) </code> |
| * </li></ol></p> |
| * <p> |
| * <strong>Usage Note:</strong><br> |
| * The validity of the test depends on the assumptions of the one-sample |
| * parametric t-test procedure, as discussed |
| * <a href="http://www.basic.nwu.edu/statguidefiles/sg_glos.html#one-sample">here</a> |
| * </p><p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The observed array length must be at least 2. |
| * </li></ul></p> |
| * |
| * @param mu constant value to compare sample mean against |
| * @param sample array of sample data values |
| * @param alpha significance level of the test |
| * @return p-value |
| * @throws IllegalArgumentException if the precondition is not met |
| * @throws MathException if an error computing the p-value |
| */ |
| public boolean tTest(double mu, double[] sample, double alpha) |
| throws IllegalArgumentException, MathException { |
| checkSignificanceLevel(alpha); |
| return tTest(mu, sample) < alpha; |
| } |
| |
| /** |
| * Returns the <i>observed significance level</i>, or |
| * <i>p-value</i>, associated with a one-sample, two-tailed t-test |
| * comparing the mean of the dataset described by <code>sampleStats</code> |
| * with the constant <code>mu</code>. |
| * <p> |
| * The number returned is the smallest significance level |
| * at which one can reject the null hypothesis that the mean equals |
| * <code>mu</code> in favor of the two-sided alternative that the mean |
| * is different from <code>mu</code>. For a one-sided test, divide the |
| * returned value by 2.</p> |
| * <p> |
| * <strong>Usage Note:</strong><br> |
| * The validity of the test depends on the assumptions of the parametric |
| * t-test procedure, as discussed |
| * <a href="http://www.basic.nwu.edu/statguidefiles/ttest_unpaired_ass_viol.html"> |
| * here</a></p> |
| * <p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The sample must contain at least 2 observations. |
| * </li></ul></p> |
| * |
| * @param mu constant value to compare sample mean against |
| * @param sampleStats StatisticalSummary describing sample data |
| * @return p-value |
| * @throws IllegalArgumentException if the precondition is not met |
| * @throws MathException if an error occurs computing the p-value |
| */ |
| public double tTest(double mu, StatisticalSummary sampleStats) |
| throws IllegalArgumentException, MathException { |
| checkSampleData(sampleStats); |
| return tTest(sampleStats.getMean(), mu, sampleStats.getVariance(), |
| sampleStats.getN()); |
| } |
| |
| /** |
| * Performs a <a href="http://www.itl.nist.gov/div898/handbook/eda/section3/eda353.htm"> |
| * two-sided t-test</a> evaluating the null hypothesis that the mean of the |
| * population from which the dataset described by <code>stats</code> is |
| * drawn equals <code>mu</code>. |
| * <p> |
| * Returns <code>true</code> iff the null hypothesis can be rejected with |
| * confidence <code>1 - alpha</code>. To perform a 1-sided test, use |
| * <code>alpha * 2.</code></p> |
| * <p> |
| * <strong>Examples:</strong><br><ol> |
| * <li>To test the (2-sided) hypothesis <code>sample mean = mu </code> at |
| * the 95% level, use <br><code>tTest(mu, sampleStats, 0.05) </code> |
| * </li> |
| * <li>To test the (one-sided) hypothesis <code> sample mean < mu </code> |
| * at the 99% level, first verify that the measured sample mean is less |
| * than <code>mu</code> and then use |
| * <br><code>tTest(mu, sampleStats, 0.02) </code> |
| * </li></ol></p> |
| * <p> |
| * <strong>Usage Note:</strong><br> |
| * The validity of the test depends on the assumptions of the one-sample |
| * parametric t-test procedure, as discussed |
| * <a href="http://www.basic.nwu.edu/statguidefiles/sg_glos.html#one-sample">here</a> |
| * </p><p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The sample must include at least 2 observations. |
| * </li></ul></p> |
| * |
| * @param mu constant value to compare sample mean against |
| * @param sampleStats StatisticalSummary describing sample data values |
| * @param alpha significance level of the test |
| * @return p-value |
| * @throws IllegalArgumentException if the precondition is not met |
| * @throws MathException if an error occurs computing the p-value |
| */ |
| public boolean tTest( double mu, StatisticalSummary sampleStats, |
| double alpha) |
| throws IllegalArgumentException, MathException { |
| checkSignificanceLevel(alpha); |
| return tTest(mu, sampleStats) < alpha; |
| } |
| |
| /** |
| * Returns the <i>observed significance level</i>, or |
| * <i>p-value</i>, associated with a two-sample, two-tailed t-test |
| * comparing the means of the input arrays. |
| * <p> |
| * The number returned is the smallest significance level |
| * at which one can reject the null hypothesis that the two means are |
| * equal in favor of the two-sided alternative that they are different. |
| * For a one-sided test, divide the returned value by 2.</p> |
| * <p> |
| * The test does not assume that the underlying popuation variances are |
| * equal and it uses approximated degrees of freedom computed from the |
| * sample data to compute the p-value. The t-statistic used is as defined in |
| * {@link #t(double[], double[])} and the Welch-Satterthwaite approximation |
| * to the degrees of freedom is used, |
| * as described |
| * <a href="http://www.itl.nist.gov/div898/handbook/prc/section3/prc31.htm"> |
| * here.</a> To perform the test under the assumption of equal subpopulation |
| * variances, use {@link #homoscedasticTTest(double[], double[])}.</p> |
| * <p> |
| * <strong>Usage Note:</strong><br> |
| * The validity of the p-value depends on the assumptions of the parametric |
| * t-test procedure, as discussed |
| * <a href="http://www.basic.nwu.edu/statguidefiles/ttest_unpaired_ass_viol.html"> |
| * here</a></p> |
| * <p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The observed array lengths must both be at least 2. |
| * </li></ul></p> |
| * |
| * @param sample1 array of sample data values |
| * @param sample2 array of sample data values |
| * @return p-value for t-test |
| * @throws IllegalArgumentException if the precondition is not met |
| * @throws MathException if an error occurs computing the p-value |
| */ |
| public double tTest(double[] sample1, double[] sample2) |
| throws IllegalArgumentException, MathException { |
| checkSampleData(sample1); |
| checkSampleData(sample2); |
| return tTest(StatUtils.mean(sample1), StatUtils.mean(sample2), |
| StatUtils.variance(sample1), StatUtils.variance(sample2), |
| sample1.length, sample2.length); |
| } |
| |
| /** |
| * Returns the <i>observed significance level</i>, or |
| * <i>p-value</i>, associated with a two-sample, two-tailed t-test |
| * comparing the means of the input arrays, under the assumption that |
| * the two samples are drawn from subpopulations with equal variances. |
| * To perform the test without the equal variances assumption, use |
| * {@link #tTest(double[], double[])}. |
| * <p> |
| * The number returned is the smallest significance level |
| * at which one can reject the null hypothesis that the two means are |
| * equal in favor of the two-sided alternative that they are different. |
| * For a one-sided test, divide the returned value by 2.</p> |
| * <p> |
| * A pooled variance estimate is used to compute the t-statistic. See |
| * {@link #homoscedasticT(double[], double[])}. The sum of the sample sizes |
| * minus 2 is used as the degrees of freedom.</p> |
| * <p> |
| * <strong>Usage Note:</strong><br> |
| * The validity of the p-value depends on the assumptions of the parametric |
| * t-test procedure, as discussed |
| * <a href="http://www.basic.nwu.edu/statguidefiles/ttest_unpaired_ass_viol.html"> |
| * here</a></p> |
| * <p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The observed array lengths must both be at least 2. |
| * </li></ul></p> |
| * |
| * @param sample1 array of sample data values |
| * @param sample2 array of sample data values |
| * @return p-value for t-test |
| * @throws IllegalArgumentException if the precondition is not met |
| * @throws MathException if an error occurs computing the p-value |
| */ |
| public double homoscedasticTTest(double[] sample1, double[] sample2) |
| throws IllegalArgumentException, MathException { |
| checkSampleData(sample1); |
| checkSampleData(sample2); |
| return homoscedasticTTest(StatUtils.mean(sample1), |
| StatUtils.mean(sample2), StatUtils.variance(sample1), |
| StatUtils.variance(sample2), sample1.length, |
| sample2.length); |
| } |
| |
| |
| /** |
| * Performs a |
| * <a href="http://www.itl.nist.gov/div898/handbook/eda/section3/eda353.htm"> |
| * two-sided t-test</a> evaluating the null hypothesis that <code>sample1</code> |
| * and <code>sample2</code> are drawn from populations with the same mean, |
| * with significance level <code>alpha</code>. This test does not assume |
| * that the subpopulation variances are equal. To perform the test assuming |
| * equal variances, use |
| * {@link #homoscedasticTTest(double[], double[], double)}. |
| * <p> |
| * Returns <code>true</code> iff the null hypothesis that the means are |
| * equal can be rejected with confidence <code>1 - alpha</code>. To |
| * perform a 1-sided test, use <code>alpha / 2</code></p> |
| * <p> |
| * See {@link #t(double[], double[])} for the formula used to compute the |
| * t-statistic. Degrees of freedom are approximated using the |
| * <a href="http://www.itl.nist.gov/div898/handbook/prc/section3/prc31.htm"> |
| * Welch-Satterthwaite approximation.</a></p> |
| |
| * <p> |
| * <strong>Examples:</strong><br><ol> |
| * <li>To test the (2-sided) hypothesis <code>mean 1 = mean 2 </code> at |
| * the 95% level, use |
| * <br><code>tTest(sample1, sample2, 0.05). </code> |
| * </li> |
| * <li>To test the (one-sided) hypothesis <code> mean 1 < mean 2 </code> at |
| * the 99% level, first verify that the measured mean of <code>sample 1</code> |
| * is less than the mean of <code>sample 2</code> and then use |
| * <br><code>tTest(sample1, sample2, 0.02) </code> |
| * </li></ol></p> |
| * <p> |
| * <strong>Usage Note:</strong><br> |
| * The validity of the test depends on the assumptions of the parametric |
| * t-test procedure, as discussed |
| * <a href="http://www.basic.nwu.edu/statguidefiles/ttest_unpaired_ass_viol.html"> |
| * here</a></p> |
| * <p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The observed array lengths must both be at least 2. |
| * </li> |
| * <li> <code> 0 < alpha < 0.5 </code> |
| * </li></ul></p> |
| * |
| * @param sample1 array of sample data values |
| * @param sample2 array of sample data values |
| * @param alpha significance level of the test |
| * @return true if the null hypothesis can be rejected with |
| * confidence 1 - alpha |
| * @throws IllegalArgumentException if the preconditions are not met |
| * @throws MathException if an error occurs performing the test |
| */ |
| public boolean tTest(double[] sample1, double[] sample2, |
| double alpha) |
| throws IllegalArgumentException, MathException { |
| checkSignificanceLevel(alpha); |
| return tTest(sample1, sample2) < alpha; |
| } |
| |
| /** |
| * Performs a |
| * <a href="http://www.itl.nist.gov/div898/handbook/eda/section3/eda353.htm"> |
| * two-sided t-test</a> evaluating the null hypothesis that <code>sample1</code> |
| * and <code>sample2</code> are drawn from populations with the same mean, |
| * with significance level <code>alpha</code>, assuming that the |
| * subpopulation variances are equal. Use |
| * {@link #tTest(double[], double[], double)} to perform the test without |
| * the assumption of equal variances. |
| * <p> |
| * Returns <code>true</code> iff the null hypothesis that the means are |
| * equal can be rejected with confidence <code>1 - alpha</code>. To |
| * perform a 1-sided test, use <code>alpha * 2.</code> To perform the test |
| * without the assumption of equal subpopulation variances, use |
| * {@link #tTest(double[], double[], double)}.</p> |
| * <p> |
| * A pooled variance estimate is used to compute the t-statistic. See |
| * {@link #t(double[], double[])} for the formula. The sum of the sample |
| * sizes minus 2 is used as the degrees of freedom.</p> |
| * <p> |
| * <strong>Examples:</strong><br><ol> |
| * <li>To test the (2-sided) hypothesis <code>mean 1 = mean 2 </code> at |
| * the 95% level, use <br><code>tTest(sample1, sample2, 0.05). </code> |
| * </li> |
| * <li>To test the (one-sided) hypothesis <code> mean 1 < mean 2, </code> |
| * at the 99% level, first verify that the measured mean of |
| * <code>sample 1</code> is less than the mean of <code>sample 2</code> |
| * and then use |
| * <br><code>tTest(sample1, sample2, 0.02) </code> |
| * </li></ol></p> |
| * <p> |
| * <strong>Usage Note:</strong><br> |
| * The validity of the test depends on the assumptions of the parametric |
| * t-test procedure, as discussed |
| * <a href="http://www.basic.nwu.edu/statguidefiles/ttest_unpaired_ass_viol.html"> |
| * here</a></p> |
| * <p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The observed array lengths must both be at least 2. |
| * </li> |
| * <li> <code> 0 < alpha < 0.5 </code> |
| * </li></ul></p> |
| * |
| * @param sample1 array of sample data values |
| * @param sample2 array of sample data values |
| * @param alpha significance level of the test |
| * @return true if the null hypothesis can be rejected with |
| * confidence 1 - alpha |
| * @throws IllegalArgumentException if the preconditions are not met |
| * @throws MathException if an error occurs performing the test |
| */ |
| public boolean homoscedasticTTest(double[] sample1, double[] sample2, |
| double alpha) |
| throws IllegalArgumentException, MathException { |
| checkSignificanceLevel(alpha); |
| return homoscedasticTTest(sample1, sample2) < alpha; |
| } |
| |
| /** |
| * Returns the <i>observed significance level</i>, or |
| * <i>p-value</i>, associated with a two-sample, two-tailed t-test |
| * comparing the means of the datasets described by two StatisticalSummary |
| * instances. |
| * <p> |
| * The number returned is the smallest significance level |
| * at which one can reject the null hypothesis that the two means are |
| * equal in favor of the two-sided alternative that they are different. |
| * For a one-sided test, divide the returned value by 2.</p> |
| * <p> |
| * The test does not assume that the underlying popuation variances are |
| * equal and it uses approximated degrees of freedom computed from the |
| * sample data to compute the p-value. To perform the test assuming |
| * equal variances, use |
| * {@link #homoscedasticTTest(StatisticalSummary, StatisticalSummary)}.</p> |
| * <p> |
| * <strong>Usage Note:</strong><br> |
| * The validity of the p-value depends on the assumptions of the parametric |
| * t-test procedure, as discussed |
| * <a href="http://www.basic.nwu.edu/statguidefiles/ttest_unpaired_ass_viol.html"> |
| * here</a></p> |
| * <p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The datasets described by the two Univariates must each contain |
| * at least 2 observations. |
| * </li></ul></p> |
| * |
| * @param sampleStats1 StatisticalSummary describing data from the first sample |
| * @param sampleStats2 StatisticalSummary describing data from the second sample |
| * @return p-value for t-test |
| * @throws IllegalArgumentException if the precondition is not met |
| * @throws MathException if an error occurs computing the p-value |
| */ |
| public double tTest(StatisticalSummary sampleStats1, StatisticalSummary sampleStats2) |
| throws IllegalArgumentException, MathException { |
| checkSampleData(sampleStats1); |
| checkSampleData(sampleStats2); |
| return tTest(sampleStats1.getMean(), sampleStats2.getMean(), sampleStats1.getVariance(), |
| sampleStats2.getVariance(), sampleStats1.getN(), |
| sampleStats2.getN()); |
| } |
| |
| /** |
| * Returns the <i>observed significance level</i>, or |
| * <i>p-value</i>, associated with a two-sample, two-tailed t-test |
| * comparing the means of the datasets described by two StatisticalSummary |
| * instances, under the hypothesis of equal subpopulation variances. To |
| * perform a test without the equal variances assumption, use |
| * {@link #tTest(StatisticalSummary, StatisticalSummary)}. |
| * <p> |
| * The number returned is the smallest significance level |
| * at which one can reject the null hypothesis that the two means are |
| * equal in favor of the two-sided alternative that they are different. |
| * For a one-sided test, divide the returned value by 2.</p> |
| * <p> |
| * See {@link #homoscedasticT(double[], double[])} for the formula used to |
| * compute the t-statistic. The sum of the sample sizes minus 2 is used as |
| * the degrees of freedom.</p> |
| * <p> |
| * <strong>Usage Note:</strong><br> |
| * The validity of the p-value depends on the assumptions of the parametric |
| * t-test procedure, as discussed |
| * <a href="http://www.basic.nwu.edu/statguidefiles/ttest_unpaired_ass_viol.html">here</a> |
| * </p><p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The datasets described by the two Univariates must each contain |
| * at least 2 observations. |
| * </li></ul></p> |
| * |
| * @param sampleStats1 StatisticalSummary describing data from the first sample |
| * @param sampleStats2 StatisticalSummary describing data from the second sample |
| * @return p-value for t-test |
| * @throws IllegalArgumentException if the precondition is not met |
| * @throws MathException if an error occurs computing the p-value |
| */ |
| public double homoscedasticTTest(StatisticalSummary sampleStats1, |
| StatisticalSummary sampleStats2) |
| throws IllegalArgumentException, MathException { |
| checkSampleData(sampleStats1); |
| checkSampleData(sampleStats2); |
| return homoscedasticTTest(sampleStats1.getMean(), |
| sampleStats2.getMean(), sampleStats1.getVariance(), |
| sampleStats2.getVariance(), sampleStats1.getN(), |
| sampleStats2.getN()); |
| } |
| |
| /** |
| * Performs a |
| * <a href="http://www.itl.nist.gov/div898/handbook/eda/section3/eda353.htm"> |
| * two-sided t-test</a> evaluating the null hypothesis that |
| * <code>sampleStats1</code> and <code>sampleStats2</code> describe |
| * datasets drawn from populations with the same mean, with significance |
| * level <code>alpha</code>. This test does not assume that the |
| * subpopulation variances are equal. To perform the test under the equal |
| * variances assumption, use |
| * {@link #homoscedasticTTest(StatisticalSummary, StatisticalSummary)}. |
| * <p> |
| * Returns <code>true</code> iff the null hypothesis that the means are |
| * equal can be rejected with confidence <code>1 - alpha</code>. To |
| * perform a 1-sided test, use <code>alpha * 2</code></p> |
| * <p> |
| * See {@link #t(double[], double[])} for the formula used to compute the |
| * t-statistic. Degrees of freedom are approximated using the |
| * <a href="http://www.itl.nist.gov/div898/handbook/prc/section3/prc31.htm"> |
| * Welch-Satterthwaite approximation.</a></p> |
| * <p> |
| * <strong>Examples:</strong><br><ol> |
| * <li>To test the (2-sided) hypothesis <code>mean 1 = mean 2 </code> at |
| * the 95%, use |
| * <br><code>tTest(sampleStats1, sampleStats2, 0.05) </code> |
| * </li> |
| * <li>To test the (one-sided) hypothesis <code> mean 1 < mean 2 </code> |
| * at the 99% level, first verify that the measured mean of |
| * <code>sample 1</code> is less than the mean of <code>sample 2</code> |
| * and then use |
| * <br><code>tTest(sampleStats1, sampleStats2, 0.02) </code> |
| * </li></ol></p> |
| * <p> |
| * <strong>Usage Note:</strong><br> |
| * The validity of the test depends on the assumptions of the parametric |
| * t-test procedure, as discussed |
| * <a href="http://www.basic.nwu.edu/statguidefiles/ttest_unpaired_ass_viol.html"> |
| * here</a></p> |
| * <p> |
| * <strong>Preconditions</strong>: <ul> |
| * <li>The datasets described by the two Univariates must each contain |
| * at least 2 observations. |
| * </li> |
| * <li> <code> 0 < alpha < 0.5 </code> |
| * </li></ul></p> |
| * |
| * @param sampleStats1 StatisticalSummary describing sample data values |
| * @param sampleStats2 StatisticalSummary describing sample data values |
| * @param alpha significance level of the test |
| * @return true if the null hypothesis can be rejected with |
| * confidence 1 - alpha |
| * @throws IllegalArgumentException if the preconditions are not met |
| * @throws MathException if an error occurs performing the test |
| */ |
| public boolean tTest(StatisticalSummary sampleStats1, |
| StatisticalSummary sampleStats2, double alpha) |
| throws IllegalArgumentException, MathException { |
| checkSignificanceLevel(alpha); |
| return tTest(sampleStats1, sampleStats2) < alpha; |
| } |
| |
| //----------------------------------------------- Protected methods |
| |
| /** |
| * Computes approximate degrees of freedom for 2-sample t-test. |
| * |
| * @param v1 first sample variance |
| * @param v2 second sample variance |
| * @param n1 first sample n |
| * @param n2 second sample n |
| * @return approximate degrees of freedom |
| */ |
| protected double df(double v1, double v2, double n1, double n2) { |
| return (((v1 / n1) + (v2 / n2)) * ((v1 / n1) + (v2 / n2))) / |
| ((v1 * v1) / (n1 * n1 * (n1 - 1d)) + (v2 * v2) / |
| (n2 * n2 * (n2 - 1d))); |
| } |
| |
| /** |
| * Computes t test statistic for 1-sample t-test. |
| * |
| * @param m sample mean |
| * @param mu constant to test against |
| * @param v sample variance |
| * @param n sample n |
| * @return t test statistic |
| */ |
| protected double t(double m, double mu, double v, double n) { |
| return (m - mu) / FastMath.sqrt(v / n); |
| } |
| |
| /** |
| * Computes t test statistic for 2-sample t-test. |
| * <p> |
| * Does not assume that subpopulation variances are equal.</p> |
| * |
| * @param m1 first sample mean |
| * @param m2 second sample mean |
| * @param v1 first sample variance |
| * @param v2 second sample variance |
| * @param n1 first sample n |
| * @param n2 second sample n |
| * @return t test statistic |
| */ |
| protected double t(double m1, double m2, double v1, double v2, double n1, |
| double n2) { |
| return (m1 - m2) / FastMath.sqrt((v1 / n1) + (v2 / n2)); |
| } |
| |
| /** |
| * Computes t test statistic for 2-sample t-test under the hypothesis |
| * of equal subpopulation variances. |
| * |
| * @param m1 first sample mean |
| * @param m2 second sample mean |
| * @param v1 first sample variance |
| * @param v2 second sample variance |
| * @param n1 first sample n |
| * @param n2 second sample n |
| * @return t test statistic |
| */ |
| protected double homoscedasticT(double m1, double m2, double v1, |
| double v2, double n1, double n2) { |
| double pooledVariance = ((n1 - 1) * v1 + (n2 -1) * v2 ) / (n1 + n2 - 2); |
| return (m1 - m2) / FastMath.sqrt(pooledVariance * (1d / n1 + 1d / n2)); |
| } |
| |
| /** |
| * Computes p-value for 2-sided, 1-sample t-test. |
| * |
| * @param m sample mean |
| * @param mu constant to test against |
| * @param v sample variance |
| * @param n sample n |
| * @return p-value |
| * @throws MathException if an error occurs computing the p-value |
| */ |
| protected double tTest(double m, double mu, double v, double n) |
| throws MathException { |
| double t = FastMath.abs(t(m, mu, v, n)); |
| distribution.setDegreesOfFreedom(n - 1); |
| return 2.0 * distribution.cumulativeProbability(-t); |
| } |
| |
| /** |
| * Computes p-value for 2-sided, 2-sample t-test. |
| * <p> |
| * Does not assume subpopulation variances are equal. Degrees of freedom |
| * are estimated from the data.</p> |
| * |
| * @param m1 first sample mean |
| * @param m2 second sample mean |
| * @param v1 first sample variance |
| * @param v2 second sample variance |
| * @param n1 first sample n |
| * @param n2 second sample n |
| * @return p-value |
| * @throws MathException if an error occurs computing the p-value |
| */ |
| protected double tTest(double m1, double m2, double v1, double v2, |
| double n1, double n2) |
| throws MathException { |
| double t = FastMath.abs(t(m1, m2, v1, v2, n1, n2)); |
| double degreesOfFreedom = 0; |
| degreesOfFreedom = df(v1, v2, n1, n2); |
| distribution.setDegreesOfFreedom(degreesOfFreedom); |
| return 2.0 * distribution.cumulativeProbability(-t); |
| } |
| |
| /** |
| * Computes p-value for 2-sided, 2-sample t-test, under the assumption |
| * of equal subpopulation variances. |
| * <p> |
| * The sum of the sample sizes minus 2 is used as degrees of freedom.</p> |
| * |
| * @param m1 first sample mean |
| * @param m2 second sample mean |
| * @param v1 first sample variance |
| * @param v2 second sample variance |
| * @param n1 first sample n |
| * @param n2 second sample n |
| * @return p-value |
| * @throws MathException if an error occurs computing the p-value |
| */ |
| protected double homoscedasticTTest(double m1, double m2, double v1, |
| double v2, double n1, double n2) |
| throws MathException { |
| double t = FastMath.abs(homoscedasticT(m1, m2, v1, v2, n1, n2)); |
| double degreesOfFreedom = n1 + n2 - 2; |
| distribution.setDegreesOfFreedom(degreesOfFreedom); |
| return 2.0 * distribution.cumulativeProbability(-t); |
| } |
| |
| /** |
| * Modify the distribution used to compute inference statistics. |
| * @param value the new distribution |
| * @since 1.2 |
| * @deprecated in 2.2 (to be removed in 3.0). |
| */ |
| @Deprecated |
| public void setDistribution(TDistribution value) { |
| distribution = value; |
| } |
| |
| /** Check significance level. |
| * @param alpha significance level |
| * @exception IllegalArgumentException if significance level is out of bounds |
| */ |
| private void checkSignificanceLevel(final double alpha) |
| throws IllegalArgumentException { |
| if ((alpha <= 0) || (alpha > 0.5)) { |
| throw MathRuntimeException.createIllegalArgumentException( |
| LocalizedFormats.OUT_OF_BOUND_SIGNIFICANCE_LEVEL, |
| alpha, 0.0, 0.5); |
| } |
| } |
| |
| /** Check sample data. |
| * @param data sample data |
| * @exception IllegalArgumentException if there is not enough sample data |
| */ |
| private void checkSampleData(final double[] data) |
| throws IllegalArgumentException { |
| if ((data == null) || (data.length < 2)) { |
| throw MathRuntimeException.createIllegalArgumentException( |
| LocalizedFormats.INSUFFICIENT_DATA_FOR_T_STATISTIC, |
| (data == null) ? 0 : data.length); |
| } |
| } |
| |
| /** Check sample data. |
| * @param stat statistical summary |
| * @exception IllegalArgumentException if there is not enough sample data |
| */ |
| private void checkSampleData(final StatisticalSummary stat) |
| throws IllegalArgumentException { |
| if ((stat == null) || (stat.getN() < 2)) { |
| throw MathRuntimeException.createIllegalArgumentException( |
| LocalizedFormats.INSUFFICIENT_DATA_FOR_T_STATISTIC, |
| (stat == null) ? 0 : stat.getN()); |
| } |
| } |
| |
| } |