go / perf / ad98d977160e285dd9c9d5a8fa670324b3f1420d / . / vendor / github.com / aclements / go-moremath / stats / utest.go

// Copyright 2015 The Go Authors. All rights reserved. | |

// Use of this source code is governed by a BSD-style | |

// license that can be found in the LICENSE file. | |

package stats | |

import ( | |

"math" | |

"sort" | |

"github.com/aclements/go-moremath/mathx" | |

) | |

// A LocationHypothesis specifies the alternative hypothesis of a | |

// location test such as a t-test or a Mann-Whitney U-test. The | |

// default (zero) value is to test against the alternative hypothesis | |

// that they differ. | |

type LocationHypothesis int | |

//go:generate stringer -type LocationHypothesis | |

const ( | |

// LocationLess specifies the alternative hypothesis that the | |

// location of the first sample is less than the second. This | |

// is a one-tailed test. | |

LocationLess LocationHypothesis = -1 | |

// LocationDiffers specifies the alternative hypothesis that | |

// the locations of the two samples are not equal. This is a | |

// two-tailed test. | |

LocationDiffers LocationHypothesis = 0 | |

// LocationGreater specifies the alternative hypothesis that | |

// the location of the first sample is greater than the | |

// second. This is a one-tailed test. | |

LocationGreater LocationHypothesis = 1 | |

) | |

// A MannWhitneyUTestResult is the result of a Mann-Whitney U-test. | |

type MannWhitneyUTestResult struct { | |

// N1 and N2 are the sizes of the input samples. | |

N1, N2 int | |

// U is the value of the Mann-Whitney U statistic for this | |

// test, generalized by counting ties as 0.5. | |

// | |

// Given the Cartesian product of the two samples, this is the | |

// number of pairs in which the value from the first sample is | |

// greater than the value of the second, plus 0.5 times the | |

// number of pairs where the values from the two samples are | |

// equal. Hence, U is always an integer multiple of 0.5 (it is | |

// a whole integer if there are no ties) in the range [0, N1*N2]. | |

// | |

// U statistics always come in pairs, depending on which | |

// sample is "first". The mirror U for the other sample can be | |

// calculated as N1*N2 - U. | |

// | |

// There are many equivalent statistics with slightly | |

// different definitions. The Wilcoxon (1945) W statistic | |

// (generalized for ties) is U + (N1(N1+1))/2. It is also | |

// common to use 2U to eliminate the half steps and Smid | |

// (1956) uses N1*N2 - 2U to additionally center the | |

// distribution. | |

U float64 | |

// AltHypothesis specifies the alternative hypothesis tested | |

// by this test against the null hypothesis that there is no | |

// difference in the locations of the samples. | |

AltHypothesis LocationHypothesis | |

// P is the p-value of the Mann-Whitney test for the given | |

// null hypothesis. | |

P float64 | |

} | |

// MannWhitneyExactLimit gives the largest sample size for which the | |

// exact U distribution will be used for the Mann-Whitney U-test. | |

// | |

// Using the exact distribution is necessary for small sample sizes | |

// because the distribution is highly irregular. However, computing | |

// the distribution for large sample sizes is both computationally | |

// expensive and unnecessary because it quickly approaches a normal | |

// approximation. Computing the distribution for two 50 value samples | |

// takes a few milliseconds on a 2014 laptop. | |

var MannWhitneyExactLimit = 50 | |

// MannWhitneyTiesExactLimit gives the largest sample size for which | |

// the exact U distribution will be used for the Mann-Whitney U-test | |

// in the presence of ties. | |

// | |

// Computing this distribution is more expensive than computing the | |

// distribution without ties, so this is set lower. Computing this | |

// distribution for two 25 value samples takes about ten milliseconds | |

// on a 2014 laptop. | |

var MannWhitneyTiesExactLimit = 25 | |

// MannWhitneyUTest performs a Mann-Whitney U-test [1,2] of the null | |

// hypothesis that two samples come from the same population against | |

// the alternative hypothesis that one sample tends to have larger or | |

// smaller values than the other. | |

// | |

// This is similar to a t-test, but unlike the t-test, the | |

// Mann-Whitney U-test is non-parametric (it does not assume a normal | |

// distribution). It has very slightly lower efficiency than the | |

// t-test on normal distributions. | |

// | |

// Computing the exact U distribution is expensive for large sample | |

// sizes, so this uses a normal approximation for sample sizes larger | |

// than MannWhitneyExactLimit if there are no ties or | |

// MannWhitneyTiesExactLimit if there are ties. This normal | |

// approximation uses both the tie correction and the continuity | |

// correction. | |

// | |

// This can fail with ErrSampleSize if either sample is empty or | |

// ErrSamplesEqual if all sample values are equal. | |

// | |

// This is also known as a Mann-Whitney-Wilcoxon test and is | |

// equivalent to the Wilcoxon rank-sum test, though the Wilcoxon | |

// rank-sum test differs in nomenclature. | |

// | |

// [1] Mann, Henry B.; Whitney, Donald R. (1947). "On a Test of | |

// Whether one of Two Random Variables is Stochastically Larger than | |

// the Other". Annals of Mathematical Statistics 18 (1): 50–60. | |

// | |

// [2] Klotz, J. H. (1966). "The Wilcoxon, Ties, and the Computer". | |

// Journal of the American Statistical Association 61 (315): 772-787. | |

func MannWhitneyUTest(x1, x2 []float64, alt LocationHypothesis) (*MannWhitneyUTestResult, error) { | |

n1, n2 := len(x1), len(x2) | |

if n1 == 0 || n2 == 0 { | |

return nil, ErrSampleSize | |

} | |

// Compute the U statistic and tie vector T. | |

x1 = append([]float64(nil), x1...) | |

x2 = append([]float64(nil), x2...) | |

sort.Float64s(x1) | |

sort.Float64s(x2) | |

merged, labels := labeledMerge(x1, x2) | |

R1 := 0.0 | |

T, hasTies := []int{}, false | |

for i := 0; i < len(merged); { | |

rank1, nx1, v1 := i+1, 0, merged[i] | |

// Consume samples that tie this sample (including itself). | |

for ; i < len(merged) && merged[i] == v1; i++ { | |

if labels[i] == 1 { | |

nx1++ | |

} | |

} | |

// Assign all tied samples the average rank of the | |

// samples, where merged[0] has rank 1. | |

if nx1 != 0 { | |

rank := float64(i+rank1) / 2 | |

R1 += rank * float64(nx1) | |

} | |

T = append(T, i-rank1+1) | |

if i > rank1 { | |

hasTies = true | |

} | |

} | |

U1 := R1 - float64(n1*(n1+1))/2 | |

// Compute the smaller of U1 and U2 | |

U2 := float64(n1*n2) - U1 | |

Usmall := math.Min(U1, U2) | |

var p float64 | |

if !hasTies && n1 <= MannWhitneyExactLimit && n2 <= MannWhitneyExactLimit || | |

hasTies && n1 <= MannWhitneyTiesExactLimit && n2 <= MannWhitneyTiesExactLimit { | |

// Use exact U distribution. U1 will be an integer. | |

if len(T) == 1 { | |

// All values are equal. Test is meaningless. | |

return nil, ErrSamplesEqual | |

} | |

dist := UDist{N1: n1, N2: n2, T: T} | |

switch alt { | |

case LocationDiffers: | |

if U1 == U2 { | |

// The distribution is symmetric about | |

// Usmall. Since the distribution is | |

// discrete, the CDF is discontinuous | |

// and if simply double CDF(Usmall), | |

// we'll double count the | |

// (non-infinitesimal) probability | |

// mass at Usmall. What we want is | |

// just the integral of the whole CDF, | |

// which is 1. | |

p = 1 | |

} else { | |

p = dist.CDF(Usmall) * 2 | |

} | |

case LocationLess: | |

p = dist.CDF(U1) | |

case LocationGreater: | |

p = 1 - dist.CDF(U1-1) | |

} | |

} else { | |

// Use normal approximation (with tie and continuity | |

// correction). | |

t := tieCorrection(T) | |

N := float64(n1 + n2) | |

μ_U := float64(n1*n2) / 2 | |

σ_U := math.Sqrt(float64(n1*n2) * ((N + 1) - t/(N*(N-1))) / 12) | |

if σ_U == 0 { | |

return nil, ErrSamplesEqual | |

} | |

numer := U1 - μ_U | |

// Perform continuity correction. | |

switch alt { | |

case LocationDiffers: | |

numer -= mathx.Sign(numer) * 0.5 | |

case LocationLess: | |

numer += 0.5 | |

case LocationGreater: | |

numer -= 0.5 | |

} | |

z := numer / σ_U | |

switch alt { | |

case LocationDiffers: | |

p = 2 * math.Min(StdNormal.CDF(z), 1-StdNormal.CDF(z)) | |

case LocationLess: | |

p = StdNormal.CDF(z) | |

case LocationGreater: | |

p = 1 - StdNormal.CDF(z) | |

} | |

} | |

return &MannWhitneyUTestResult{N1: n1, N2: n2, U: U1, | |

AltHypothesis: alt, P: p}, nil | |

} | |

// labeledMerge merges sorted lists x1 and x2 into sorted list merged. | |

// labels[i] is 1 or 2 depending on whether merged[i] is a value from | |

// x1 or x2, respectively. | |

func labeledMerge(x1, x2 []float64) (merged []float64, labels []byte) { | |

merged = make([]float64, len(x1)+len(x2)) | |

labels = make([]byte, len(x1)+len(x2)) | |

i, j, o := 0, 0, 0 | |

for i < len(x1) && j < len(x2) { | |

if x1[i] < x2[j] { | |

merged[o] = x1[i] | |

labels[o] = 1 | |

i++ | |

} else { | |

merged[o] = x2[j] | |

labels[o] = 2 | |

j++ | |

} | |

o++ | |

} | |

for ; i < len(x1); i++ { | |

merged[o] = x1[i] | |

labels[o] = 1 | |

o++ | |

} | |

for ; j < len(x2); j++ { | |

merged[o] = x2[j] | |

labels[o] = 2 | |

o++ | |

} | |

return | |

} | |

// tieCorrection computes the tie correction factor Σ_j (t_j³ - t_j) | |

// where t_j is the number of ties in the j'th rank. | |

func tieCorrection(ties []int) float64 { | |

t := 0 | |

for _, tie := range ties { | |

t += tie*tie*tie - tie | |

} | |

return float64(t) | |

} |