@mark1russell7/rigor-statistics 0.1.0 → 0.1.1

package/README.md

@@ -30,6 +30,8 @@ A promotion reads `gains` against `drops` and `effect`. A sign test alone is not
 | `quantile(values, p, method)`, `quantileSorted` | The `p` quantile, with the `"linear"` method (type 7, the default) or the `"nearest-rank"` method (type 1). |
 | `bootstrap(data, statistic, options)` | A percentile bootstrap interval of any statistic. The options are `runs`, `level` or `ends`, `seed` and `method`. |
 | `bootstrapMedian`, `bootstrapClusters` | The interval of the median, and a bootstrap that draws whole clusters (boards, seeds, sites). |
+| `bootstrapTwo(a, b, statistic, options)` | A bootstrap interval of a statistic of two independent samples, for example two arms of a benchmark. Each run draws all of `a`, then all of `b`. |
+| `bootstrapMedianRatio(numerator, denominator, options)` | The interval of `median(numerator) / median(denominator)`. It is the uncertainty of the ratio, not the spread of the samples. |
 | `signTest(better, worse, sides)`, `signTestPower(n, level)` | The sign test, and the fewest wins out of `n` that the test calls significant. |
 | `pairedPermutation(candidate, baseline, options)` | The paired permutation test (random sign flips). It uses the size of each difference. |
 | `wilson(k, n, z)` | The Wilson interval of a proportion. |

package/build/index.d.ts

@@ -73,6 +73,20 @@ interface Interval {
  * infinity) does not count. When no run is finite, low and high are equal to the estimate.
  */
 export declare function bootstrap<T>(data: readonly T[], statistic: (sample: readonly T[]) => number, options?: BootstrapOptions): Interval;
+/**
+ * A percentile bootstrap interval of `statistic` over two independent samples `a` and `b`. Use it when the two
+ * samples are not paired, for example two arms of a benchmark. Each run draws `a.length` items of `a` with
+ * replacement, and then `b.length` items of `b` with replacement. All the draws come from one stream of
+ * `random(seed)`. The statistic reads the two drawn samples. The estimate is the statistic of all of `a` and `b`. A
+ * run whose statistic is not finite does not count. When no run is finite, low and high are equal to the estimate.
+ */
+export declare function bootstrapTwo<A, B>(a: readonly A[], b: readonly B[], statistic: (a: readonly A[], b: readonly B[]) => number, options?: BootstrapOptions): Interval;
+/**
+ * A bootstrap interval of the ratio `median(numerator) / median(denominator)` of two independent samples. The
+ * interval is the uncertainty of the ratio of the two medians. It is not the spread of the samples. A run whose
+ * denominator median is 0 is not finite, so it does not count.
+ */
+export declare function bootstrapMedianRatio(numerator: readonly number[], denominator: readonly number[], options?: BootstrapOptions): Interval;
 /** A bootstrap interval of the median. */
 export declare function bootstrapMedian(values: readonly number[], options?: BootstrapOptions): Interval;
 /**

package/build/index.d.ts.map

@@ -1 +1 @@
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+{"version":3,"file":"index.d.ts","names":[],"sources":["../src/describe.ts","../src/bootstrap.ts","../src/tests.ts","../src/rank.ts","../src/compare.ts"],"mappings":";;;;;;KAOY;;wBAYI,OAAO;wBAIP,KAAK;;wBAQL,GAAG;;;;;;wBAcH,eAAe,iCAAiC,WAAW,SAAQ;;wBAgBnE,SAAS,2BAA2B,WAAW,SAAQ;;;;;wBASvD,OAAO;;UAQN;WACN;WACA;;WAEA;WACA;;WAEA;WACA;;WAEA;WACA;;WAEA;;wBAGK,UAAU,4BAA4B;UCrFrC;;WAEN;;WAEA;;WAEA;;WAEA,SAAS;;;;;;WAMT;;UAGM;;WAEN;WACA;WACA;WACA;WACA;;WAEA;;WAEA;;;;;;wBAOK,UAAU,GAAG,eAAe,KAAK,YAAY,iBAAiB,gBAAgB,UAAS,mBAAwB;;;;;;;;wBAsB/G,aAAa,GAAG,GAC9B,YAAY,KACZ,YAAY,KACZ,YAAY,YAAY,KAAK,YAAY,gBACzC,UAAS,mBACR;;;;;;wBAwBa,qBAAqB,8BAA8B,gCAAgC,UAAS,mBAAwB;;wBA+BpH,gBAAgB,2BAA2B,UAAS,mBAAwB;;;;;;wBAS5E,kBAAkB,GAChC,eAAe,KACf,UAAU,KAAK,cACf,YAAY,eAAe,gBAC3B,UAAS,mBACR;;;;;;wBCtGa,SAAS,gBAAgB,eAAe;;;;;wBAaxC,cAAc,WAAW,gBAAc;;qBAO1C;;UAGI;WACN;WACA;;;;;;wBAOK,OAAO,WAAW,WAAW,aAAkB;;UAc9C;;WAEN;;WAEA;;WAEA;;;;;;;wBAQK,KAAK,4BAA4B,iBAAe;UAa/C;;WAEN;;WAEA;;WAEA,aAAa;;UAGP;;WAEN;;WAEA;WACA;;;;;;wBAOK,kBAAkB,8BAA8B,6BAA6B,UAAS,qBAA0B;;wBCtHhH,MAAM;;;;;wBAgBN,SAAS,sBAAsB;;qBAmBlC;;;;;;wBAQG,WAAW,sBAAsB,sBAAsB;UC/CtD;;WAEN;;WAEA;;;;;;wBAOK,WAAW,2BAA2B,UAAS;UAM9C;;WAEN;;WAEA;;WAEA;;;UAIM;WACN;WACA;;WAEA;;WAEA;;UAGM;;WAEN;WACA;;WAEA;;WAEA;;WAEA;;WAEA,QAAQ;;WAER;;WAEA;;WAEA;WACA,cAAc;;WAEd;WACA,cAAc;;;;;;;;wBAST,cAAc,2BAA2B,UAAS,iBAAsB;;UA6CvE;WACN;WACA;;;wBASK,MAAM,oBAAoB;;UAQzB;WACN;WACA;WACA;;WAEA;;WAEA,UAAU;;;wBAIL,YAAY,oBAAoB,aAAa"}

package/build/index.js

@@ -79,6 +79,7 @@ function summarize(values) {
 * The percentile bootstrap. Each run draws n items with replacement (`below(n)` of rigor-generators, which is
 * `floor(next() * n)`), and computes the statistic of the sample. The interval is two quantiles of the statistics.
 * With the same seed, the draws are equal to the draws of the copies in highways, packing and layout-contract.
+* `bootstrapTwo` draws two independent samples in each run: first the items of `a`, then the items of `b`.
 */
 /**
 * A percentile bootstrap interval of `statistic` over `data`. A run whose statistic is not finite (NaN or an
@@ -86,23 +87,61 @@ function summarize(values) {
 */
 function bootstrap(data, statistic, options = {}) {
 	if (data.length === 0) throw new RangeError("bootstrap: the data is empty.");
+	const n = data.length;
+	const sample = new Array(n);
+	return percentile("bootstrap", options, (r) => {
+		for (let i = 0; i < n; i++) sample[i] = data[r.below(n)];
+		return statistic(sample);
+	}, () => statistic(data));
+}
+/**
+* A percentile bootstrap interval of `statistic` over two independent samples `a` and `b`. Use it when the two
+* samples are not paired, for example two arms of a benchmark. Each run draws `a.length` items of `a` with
+* replacement, and then `b.length` items of `b` with replacement. All the draws come from one stream of
+* `random(seed)`. The statistic reads the two drawn samples. The estimate is the statistic of all of `a` and `b`. A
+* run whose statistic is not finite does not count. When no run is finite, low and high are equal to the estimate.
+*/
+function bootstrapTwo(a, b, statistic, options = {}) {
+	if (a.length === 0) throw new RangeError("bootstrapTwo: the first sample is empty.");
+	if (b.length === 0) throw new RangeError("bootstrapTwo: the second sample is empty.");
+	const na = a.length;
+	const nb = b.length;
+	const sampleA = new Array(na);
+	const sampleB = new Array(nb);
+	return percentile("bootstrapTwo", options, (r) => {
+		for (let i = 0; i < na; i++) sampleA[i] = a[r.below(na)];
+		for (let i = 0; i < nb; i++) sampleB[i] = b[r.below(nb)];
+		return statistic(sampleA, sampleB);
+	}, () => statistic(a, b));
+}
+/**
+* A bootstrap interval of the ratio `median(numerator) / median(denominator)` of two independent samples. The
+* interval is the uncertainty of the ratio of the two medians. It is not the spread of the samples. A run whose
+* denominator median is 0 is not finite, so it does not count.
+*/
+function bootstrapMedianRatio(numerator, denominator, options = {}) {
+	return bootstrapTwo(numerator, denominator, (a, b) => median(a) / median(b), options);
+}
+/**
+* The shared part of each percentile bootstrap. It examines the options, and starts one stream of `random(seed)`.
+* Each run gives the stream to `run`, which draws the samples and returns their statistic. Then `all` gives the
+* estimate. The order of the draws is the order in `run`.
+*/
+function percentile(name, options, run, all) {
 	const runs = options.runs ?? 1e4;
-	if (!Number.isSafeInteger(runs) || runs < 1) throw new RangeError(`bootstrap: runs is a whole number of 1 or more, not ${runs}.`);
+	if (!Number.isSafeInteger(runs) || runs < 1) throw new RangeError(`${name}: runs is a whole number of 1 or more, not ${runs}.`);
 	const tail = (1 - (options.level ?? .95)) / 2;
 	const [lowEnd, highEnd] = options.ends ?? [tail, 1 - tail];
-	if (!(lowEnd >= 0 && lowEnd < highEnd && highEnd <= 1)) throw new RangeError(`bootstrap: the ends are 0 <= low < high <= 1, not ${lowEnd} and ${highEnd}.`);
+	if (!(lowEnd >= 0 && lowEnd < highEnd && highEnd <= 1)) throw new RangeError(`${name}: the ends are 0 <= low < high <= 1, not ${lowEnd} and ${highEnd}.`);
 	const level = options.ends ? highEnd - lowEnd : options.level ?? .95;
-	if (!(level > 0 && level < 1)) throw new RangeError(`bootstrap: level is more than 0 and less than 1, not ${level}.`);
+	if (!(level > 0 && level < 1)) throw new RangeError(`${name}: level is more than 0 and less than 1, not ${level}.`);
 	const r = random(options.seed ?? 1);
-	const n = data.length;
-	const sample = new Array(n);
 	const values = [];
-	for (let run = 0; run < runs; run++) {
-		for (let i = 0; i < n; i++) sample[i] = data[r.below(n)];
-		const v = statistic(sample);
+	for (let i = 0; i < runs; i++) {
+		const v = run(r);
 		if (Number.isFinite(v)) values.push(v);
 	}
-	const estimate = statistic(data);
+	const estimate = all();
 	if (values.length === 0) return {
 		estimate,
 		low: estimate,
@@ -455,6 +494,6 @@ function calibration(forecasts) {
 		interval: wilson(hits, n)
 	}));
 }
-export { KENDALL_EXACT, Z95, bootstrap, bootstrapClusters, bootstrapMedian, brier, calibration, compareRatios, holm, kendallTau, mean, median, noiseFloor, pairedPermutation, quantile, quantileSorted, ranks, sd, signTest, signTestPower, sorted, spearman, summarize, wilson };
+export { KENDALL_EXACT, Z95, bootstrap, bootstrapClusters, bootstrapMedian, bootstrapMedianRatio, bootstrapTwo, brier, calibration, compareRatios, holm, kendallTau, mean, median, noiseFloor, pairedPermutation, quantile, quantileSorted, ranks, sd, signTest, signTestPower, sorted, spearman, summarize, wilson };
 
 //# sourceMappingURL=index.js.map

package/build/index.js.map

@@ -1 +1 @@
-{"version":3,"file":"index.js","names":[],"sources":["../src/describe.ts","../src/bootstrap.ts","../src/tests.ts","../src/rank.ts","../src/compare.ts"],"sourcesContent":["/**\n * The descriptive statistics: the mean, the standard deviation, the median, the quantiles and a summary of a list.\n * Each function throws a RangeError for an empty list or for a value that is NaN. Thus a missing value cannot make a\n * quiet NaN in a record.\n */\n\n/** The two definitions of a quantile that the engines use (Hyndman and Fan, 1996). */\nexport type QuantileMethod =\n  /** Type 7: a linear step between the two nearest ranks. The default of R and NumPy. */\n  | \"linear\"\n  /** Type 1: the smallest value with at least the share `p` of the values at or below it. */\n  | \"nearest-rank\";\n\nfunction checked(name: string, values: readonly number[]): void {\n  if (values.length === 0) throw new RangeError(`${name}: the list is empty.`);\n  for (const v of values) if (Number.isNaN(v)) throw new RangeError(`${name}: the list has a NaN.`);\n}\n\n/** A new list with the values from the smallest to the largest. */\nexport function sorted(values: readonly number[]): number[] {\n  return [...values].sort((a, b) => a - b);\n}\n\nexport function mean(values: readonly number[]): number {\n  checked(\"mean\", values);\n  let sum = 0;\n  for (const v of values) sum += v;\n  return sum / values.length;\n}\n\n/** The sample standard deviation (the divisor is n - 1). It needs 2 values or more. */\nexport function sd(values: readonly number[]): number {\n  checked(\"sd\", values);\n  if (values.length < 2) throw new RangeError(\"sd: the list needs 2 values or more.\");\n  const m = mean(values);\n  let sum = 0;\n  for (const v of values) sum += (v - m) ** 2;\n  return Math.sqrt(sum / (values.length - 1));\n}\n\n/**\n * The `p` quantile of a list that is already sorted. Use it when you take several quantiles of one list.\n * The linear method gives the same numbers as the copies in highways, packing and layout-contract. The\n * nearest-rank method gives the same numbers as the copies in lag, lag-hud and the backtest of highways.\n */\nexport function quantileSorted(sortedValues: readonly number[], p: number, method: QuantileMethod = \"linear\"): number {\n  checked(\"quantile\", sortedValues);\n  if (!(p >= 0 && p <= 1)) throw new RangeError(`quantile: p is from 0 to 1, not ${p}.`);\n  const n = sortedValues.length;\n  if (method === \"nearest-rank\") return sortedValues[Math.min(n - 1, Math.max(0, Math.ceil(p * n) - 1))] as number;\n  const at = (n - 1) * p;\n  const low = Math.floor(at);\n  const part = at - low;\n  const a = sortedValues[low] as number;\n  if (part === 0) return a;\n  const b = sortedValues[low + 1] as number;\n  if (a === b) return a;\n  return a + part * (b - a);\n}\n\n/** The `p` quantile of a list. */\nexport function quantile(values: readonly number[], p: number, method: QuantileMethod = \"linear\"): number {\n  checked(\"quantile\", values);\n  return quantileSorted(sorted(values), p, method);\n}\n\n/**\n * The median: the middle value, or the midpoint `(a + b) / 2` of the two middle values. The midpoint is correctly\n * rounded. `quantile(values, 0.5)` computes `a + 0.5 * (b - a)`, which can differ from it in the last bit.\n */\nexport function median(values: readonly number[]): number {\n  checked(\"median\", values);\n  const s = sorted(values);\n  const middle = Math.floor(s.length / 2);\n  return s.length % 2 === 1 ? (s[middle] as number) : ((s[middle - 1] as number) + (s[middle] as number)) / 2;\n}\n\n/** The summary of a list. The quartiles use the linear method. */\nexport interface Summary {\n  readonly n: number;\n  readonly mean: number;\n  /** The sample standard deviation, or NaN for one value. */\n  readonly sd: number;\n  readonly min: number;\n  /** The 0.25 quantile. */\n  readonly q1: number;\n  readonly median: number;\n  /** The 0.75 quantile. */\n  readonly q3: number;\n  readonly max: number;\n  /** The interquartile range: q3 - q1. */\n  readonly iqr: number;\n}\n\nexport function summarize(values: readonly number[]): Summary {\n  checked(\"summarize\", values);\n  const s = sorted(values);\n  const q1 = quantileSorted(s, 0.25);\n  const q3 = quantileSorted(s, 0.75);\n  return {\n    n: s.length,\n    // The mean and sd of the list in its own order, so that they are equal to mean(values) and sd(values).\n    mean: mean(values),\n    sd: s.length < 2 ? Number.NaN : sd(values),\n    min: s[0] as number,\n    q1,\n    median: median(s),\n    q3,\n    max: s[s.length - 1] as number,\n    iqr: q3 - q1,\n  };\n}\n","/**\n * The percentile bootstrap. Each run draws n items with replacement (`below(n)` of rigor-generators, which is\n * `floor(next() * n)`), and computes the statistic of the sample. The interval is two quantiles of the statistics.\n * With the same seed, the draws are equal to the draws of the copies in highways, packing and layout-contract.\n */\nimport { random } from \"@mark1russell7/rigor-generators\";\nimport { type QuantileMethod, median, quantileSorted, sorted } from \"./describe.ts\";\n\nexport interface BootstrapOptions {\n  /** The number of samples. The default is 10 000. */\n  readonly runs?: number;\n  /** The level of the interval. The default is 0.95. */\n  readonly level?: number;\n  /** The seed of the draws. The default is 1. */\n  readonly seed?: number | string;\n  /** The quantile method of the two ends of the interval. The default is linear. */\n  readonly method?: QuantileMethod;\n  /**\n   * The quantiles of the two ends, in place of `level`, for example [0.025, 0.975] or an interval with one side.\n   * The default is from the level: (1 - level) / 2 and 1 - (1 - level) / 2. In floating point, (1 - 0.95) / 2 is\n   * not 0.025, so a copy that writes 0.025 needs this option to give the same numbers.\n   */\n  readonly ends?: readonly [number, number];\n}\n\nexport interface Interval {\n  /** The statistic of all the data. */\n  readonly estimate: number;\n  readonly low: number;\n  readonly high: number;\n  readonly level: number;\n  readonly runs: number;\n  /** The number of runs whose statistic is a finite number. Only these runs make the interval. */\n  readonly finite: number;\n  /** The seed as a 32-bit number. */\n  readonly seed: number;\n}\n\n/**\n * A percentile bootstrap interval of `statistic` over `data`. A run whose statistic is not finite (NaN or an\n * infinity) does not count. When no run is finite, low and high are equal to the estimate.\n */\nexport function bootstrap<T>(data: readonly T[], statistic: (sample: readonly T[]) => number, options: BootstrapOptions = {}): Interval {\n  if (data.length === 0) throw new RangeError(\"bootstrap: the data is empty.\");\n  const runs = options.runs ?? 10_000;\n  if (!Number.isSafeInteger(runs) || runs < 1) throw new RangeError(`bootstrap: runs is a whole number of 1 or more, not ${runs}.`);\n  const tail = (1 - (options.level ?? 0.95)) / 2;\n  const [lowEnd, highEnd] = options.ends ?? [tail, 1 - tail];\n  if (!(lowEnd >= 0 && lowEnd < highEnd && highEnd <= 1)) throw new RangeError(`bootstrap: the ends are 0 <= low < high <= 1, not ${lowEnd} and ${highEnd}.`);\n  const level = options.ends ? highEnd - lowEnd : (options.level ?? 0.95);\n  if (!(level > 0 && level < 1)) throw new RangeError(`bootstrap: level is more than 0 and less than 1, not ${level}.`);\n  const r = random(options.seed ?? 1);\n  const n = data.length;\n  const sample = new Array<T>(n);\n  const values: number[] = [];\n  for (let run = 0; run < runs; run++) {\n    for (let i = 0; i < n; i++) sample[i] = data[r.below(n)] as T;\n    const v = statistic(sample);\n    if (Number.isFinite(v)) values.push(v);\n  }\n  const estimate = statistic(data);\n  if (values.length === 0) return { estimate, low: estimate, high: estimate, level, runs, finite: 0, seed: r.seed };\n  const s = sorted(values);\n  const method = options.method ?? \"linear\";\n  return { estimate, low: quantileSorted(s, lowEnd, method), high: quantileSorted(s, highEnd, method), level, runs, finite: s.length, seed: r.seed };\n}\n\n/** A bootstrap interval of the median. */\nexport function bootstrapMedian(values: readonly number[], options: BootstrapOptions = {}): Interval {\n  return bootstrap(values, median, options);\n}\n\n/**\n * A cluster bootstrap: each run draws whole clusters with replacement, and the statistic reads the rows of the drawn\n * clusters. Use it when the rows of one cluster (one board, one seed, one site) are not independent. The clusters\n * are in the order of their first row.\n */\nexport function bootstrapClusters<T>(\n  rows: readonly T[],\n  cluster: (row: T) => string,\n  statistic: (rows: readonly T[]) => number,\n  options: BootstrapOptions = {},\n): Interval {\n  const groups = new Map<string, T[]>();\n  for (const row of rows) {\n    const key = cluster(row);\n    const list = groups.get(key);\n    if (list) list.push(row);\n    else groups.set(key, [row]);\n  }\n  const clusters = [...groups.values()];\n  const result = bootstrap(clusters, (drawn) => statistic(drawn.flat()), options);\n  // The estimate of all the rows in their own order, not in the order of the clusters.\n  const estimate = statistic(rows);\n  return result.finite === 0 ? { ...result, estimate, low: estimate, high: estimate } : { ...result, estimate };\n}\n","/**\n * The tests of a difference: the sign test, the paired permutation test, the Wilson interval of a proportion and\n * the Holm correction for several tests.\n */\nimport { random } from \"@mark1russell7/rigor-generators\";\nimport { mean } from \"./describe.ts\";\n\nfunction whole(name: string, value: number): void {\n  if (!Number.isSafeInteger(value) || value < 0) throw new RangeError(`${name}: ${value} is not a whole number of 0 or more.`);\n}\n\n/** The log of each binomial term C(n, k) / 2^n, for each k from 0 to n. */\nfunction halfBinomialLogs(n: number): number[] {\n  const logs: number[] = [];\n  let logChoose = 0;\n  for (let i = 0; i <= n; i++) {\n    if (i > 0) logChoose += Math.log((n - i + 1) / i);\n    logs.push(logChoose - n * Math.LN2);\n  }\n  return logs;\n}\n\n/** P(X >= k) for X ~ Binomial(n, 1/2), summed from the largest term so that a small tail keeps its digits. */\nfunction upperTail(k: number, n: number): number {\n  if (k <= 0) return 1;\n  if (k > n) return 0;\n  const logs = halfBinomialLogs(n).slice(k);\n  const top = Math.max(...logs);\n  const sum = logs.reduce((s, l) => s + Math.exp(l - top), 0);\n  return Math.min(1, Math.exp(top) * sum);\n}\n\n/**\n * The sign test of paired results: `better` inputs where the candidate wins and `worse` where it loses. The ties\n * do not count. One-sided (the default), it is the p of `better` wins or more if the two are equal. Two-sided, it is\n * two times the tail of the larger count, at most 1. The one-sided p is equal to `signTestP` of packing.\n */\nexport function signTest(better: number, worse: number, sides: 1 | 2 = 1): number {\n  whole(\"signTest\", better);\n  whole(\"signTest\", worse);\n  const n = better + worse;\n  if (n === 0) return 1;\n  if (sides === 1) return upperTail(better, n);\n  return Math.min(1, 2 * upperTail(Math.max(better, worse), n));\n}\n\n/**\n * The smallest number of wins out of `n` that the sign test calls significant at `level`. It is undefined when even\n * n wins out of n are not enough. Use it before a run, to know how many inputs a claim needs.\n */\nexport function signTestPower(n: number, level = 0.05, sides: 1 | 2 = 2): number | undefined {\n  whole(\"signTestPower\", n);\n  for (let k = Math.ceil(n / 2); k <= n; k++) if (signTest(k, n - k, sides) < level) return k;\n  return undefined;\n}\n\n/** The z of a two-sided 95% interval. */\nexport const Z95 = 1.959963984540054;\n\n/** An interval of a proportion. */\nexport interface Proportion {\n  readonly low: number;\n  readonly high: number;\n}\n\n/**\n * The Wilson score interval of `k` successes in `n` trials (Wilson, 1927). It keeps its level for a small n and for\n * a proportion near 0 or 1, where the normal interval does not. For n = 0 the interval is 0 to 1.\n */\nexport function wilson(k: number, n: number, z: number = Z95): Proportion {\n  whole(\"wilson\", k);\n  whole(\"wilson\", n);\n  if (k > n) throw new RangeError(`wilson: k ${k} is more than n ${n}.`);\n  if (n === 0) return { low: 0, high: 1 };\n  const p = k / n;\n  const z2 = z * z;\n  const denominator = 1 + z2 / n;\n  const center = (p + z2 / (2 * n)) / denominator;\n  const half = (z / denominator) * Math.sqrt((p * (1 - p)) / n + z2 / (4 * n * n));\n  return { low: Math.max(0, center - half), high: Math.min(1, center + half) };\n}\n\n/** One test after the Holm correction. */\nexport interface Corrected {\n  /** The p of the test. */\n  readonly p: number;\n  /** The p after the correction: compare it with the level of the whole family. */\n  readonly adjusted: number;\n  /** The adjusted p is less than the level. */\n  readonly reject: boolean;\n}\n\n/**\n * The Holm step-down correction of a family of tests (Holm, 1979). It keeps the chance of one false claim or more\n * in the family at most `level`. It has no condition on how the tests depend on each other. The result is in the\n * order of the input.\n */\nexport function holm(pValues: readonly number[], level = 0.05): Corrected[] {\n  for (const p of pValues) if (!(p >= 0 && p <= 1)) throw new RangeError(`holm: each p is from 0 to 1, not ${p}.`);\n  const m = pValues.length;\n  const order = pValues.map((p, i) => ({ p, i })).sort((a, b) => a.p - b.p || a.i - b.i);\n  const adjusted = new Array<number>(m);\n  let running = 0;\n  order.forEach(({ p, i }, rank) => {\n    running = Math.max(running, Math.min(1, (m - rank) * p));\n    adjusted[i] = running;\n  });\n  return pValues.map((p, i) => ({ p, adjusted: adjusted[i] as number, reject: (adjusted[i] as number) < level }));\n}\n\nexport interface PermutationOptions {\n  /** The number of random sign flips. The default is 10 000. */\n  readonly runs?: number;\n  /** The default is 1. */\n  readonly seed?: number | string;\n  /** The statistic of the differences. The default is the mean. */\n  readonly statistic?: (differences: readonly number[]) => number;\n}\n\nexport interface PermutationResult {\n  /** The statistic of the observed differences `candidate[i] - baseline[i]`. */\n  readonly observed: number;\n  /** The two-sided p: (1 + the flips with a statistic as far from 0 or farther) / (1 + runs). */\n  readonly p: number;\n  readonly runs: number;\n}\n\n/**\n * The paired permutation test (a random sign flip of each difference). It needs no normal distribution and uses\n * the size of each difference, which the sign test does not. A pair with a difference of 0 adds nothing.\n */\nexport function pairedPermutation(candidate: readonly number[], baseline: readonly number[], options: PermutationOptions = {}): PermutationResult {\n  if (candidate.length !== baseline.length) throw new RangeError(`pairedPermutation: the lists have ${candidate.length} and ${baseline.length} values.`);\n  const differences = candidate.map((c, i) => c - (baseline[i] as number));\n  const statistic = options.statistic ?? mean;\n  const runs = options.runs ?? 10_000;\n  if (!Number.isSafeInteger(runs) || runs < 1) throw new RangeError(`pairedPermutation: runs is a whole number of 1 or more, not ${runs}.`);\n  const observed = statistic(differences);\n  const r = random(options.seed ?? 1);\n  const flipped = new Array<number>(differences.length);\n  let extreme = 0;\n  for (let run = 0; run < runs; run++) {\n    for (let i = 0; i < differences.length; i++) flipped[i] = r.next() < 0.5 ? -(differences[i] as number) : (differences[i] as number);\n    // A small tolerance, so that a flip with the same statistic up to rounding counts as extreme.\n    if (Math.abs(statistic(flipped)) >= Math.abs(observed) * (1 - 1e-12)) extreme++;\n  }\n  return { observed, p: (1 + extreme) / (1 + runs), runs };\n}\n","/**\n * Rank correlation: do two measures put the same items in the same order? Use it to test that a cheap proxy (a\n * predicted cost, a fast measure) orders the items as the real measure does.\n */\nimport { random } from \"@mark1russell7/rigor-generators\";\n\nfunction samePairs(name: string, a: readonly number[], b: readonly number[]): void {\n  if (a.length !== b.length) throw new RangeError(`${name}: the lists have ${a.length} and ${b.length} values.`);\n  for (const v of a) if (Number.isNaN(v)) throw new RangeError(`${name}: the first list has a NaN.`);\n  for (const v of b) if (Number.isNaN(v)) throw new RangeError(`${name}: the second list has a NaN.`);\n}\n\n/** The ranks of the values, from 1. Equal values get the mean of their ranks. */\nexport function ranks(values: readonly number[]): number[] {\n  const order = values.map((x, i) => [x, i] as const).sort((p, q) => p[0] - q[0]);\n  const out = new Array<number>(values.length);\n  for (let i = 0; i < order.length; ) {\n    let j = i;\n    while (j + 1 < order.length && (order[j + 1] as readonly [number, number])[0] === (order[i] as readonly [number, number])[0]) j++;\n    for (let k = i; k <= j; k++) out[(order[k] as readonly [number, number])[1]] = (i + j) / 2 + 1;\n    i = j + 1;\n  }\n  return out;\n}\n\n/**\n * The Spearman rank correlation: the Pearson correlation of the ranks, with mean ranks for ties. The value is from\n * -1 to 1. When one list has no spread, the value is 0. It is equal to the copy in the backtest of highways.\n */\nexport function spearman(a: readonly number[], b: readonly number[]): number {\n  samePairs(\"spearman\", a, b);\n  const ra = ranks(a);\n  const rb = ranks(b);\n  const mean = (xs: readonly number[]): number => xs.reduce((s, x) => s + x, 0) / xs.length;\n  const ma = mean(ra);\n  const mb = mean(rb);\n  let num = 0;\n  let da = 0;\n  let db = 0;\n  for (let i = 0; i < ra.length; i++) {\n    num += ((ra[i] as number) - ma) * ((rb[i] as number) - mb);\n    da += ((ra[i] as number) - ma) ** 2;\n    db += ((rb[i] as number) - mb) ** 2;\n  }\n  return da === 0 || db === 0 ? 0 : num / Math.sqrt(da * db);\n}\n\n/** The largest number of values for which `kendallTau` examines each pair. Above it, a seeded sample of pairs. */\nexport const KENDALL_EXACT = 1500;\nconst KENDALL_SAMPLE = 200_000;\n\n/**\n * The Kendall tau-b of two lists (Kendall, 1938). The value is from -1 to 1. A pair with a tie in both lists does\n * not count. When the lists have fewer than 2 values, or no pair counts, the value is 1. Above `KENDALL_EXACT`\n * values, a seeded sample of 200 000 pairs gives an estimate. It is equal to the copy in highways.\n */\nexport function kendallTau(a: readonly number[], b: readonly number[], seed: number | string = 1): number {\n  samePairs(\"kendallTau\", a, b);\n  const n = a.length;\n  if (n < 2) return 1;\n  let concordant = 0;\n  let discordant = 0;\n  let tieA = 0;\n  let tieB = 0;\n  const visit = (i: number, j: number): void => {\n    const da = Math.sign((a[i] as number) - (a[j] as number));\n    const db = Math.sign((b[i] as number) - (b[j] as number));\n    if (da === 0 && db === 0) return;\n    if (da === 0) tieA++;\n    else if (db === 0) tieB++;\n    else if (da === db) concordant++;\n    else discordant++;\n  };\n  if (n <= KENDALL_EXACT) {\n    for (let i = 0; i < n; i++) for (let j = i + 1; j < n; j++) visit(i, j);\n  } else {\n    const r = random(seed);\n    for (let k = 0; k < KENDALL_SAMPLE; k++) {\n      const i = r.below(n);\n      const j = r.below(n);\n      if (i !== j) visit(i, j);\n    }\n  }\n  const den = Math.sqrt((concordant + discordant + tieA) * (concordant + discordant + tieB));\n  return den === 0 ? 1 : (concordant - discordant) / den;\n}\n","/**\n * The comparison of a candidate with a baseline, and the calibration of predictions. These functions make two fleet\n * rules into code. First, a change of a default is judged against the current default. The measure is the inputs that\n * gain and the inputs that lose beyond the noise, with the effect size. A sign test alone is not enough. Second, each\n * prediction states a probability, and the Brier score measures how good the stated probabilities were.\n */\nimport { median, quantileSorted, sd, sorted } from \"./describe.ts\";\nimport { type Proportion, signTest, wilson } from \"./tests.ts\";\n\nexport interface NoiseOptions {\n  /** The number of standard deviations. The default is 2. */\n  readonly k?: number;\n  /** The fewest values (seeds or folds) that give a floor. The default is 5, the 5-seed rule. */\n  readonly minimum?: number;\n}\n\n/**\n * The noise floor of a measure: k sample standard deviations of its value over independent seeds or folds. A\n * difference smaller than the floor is not a result.\n */\nexport function noiseFloor(values: readonly number[], options: NoiseOptions = {}): number {\n  const minimum = options.minimum ?? 5;\n  if (values.length < minimum) throw new RangeError(`noiseFloor: ${values.length} values; the rule needs ${minimum} or more seeds or folds.`);\n  return (options.k ?? 2) * sd(values);\n}\n\nexport interface CompareOptions {\n  /** \"higher\" (the default): a ratio above 1 is a gain. \"lower\": a ratio below 1 is a gain, as for a time or a cost. */\n  readonly better?: \"higher\" | \"lower\";\n  /** A ratio at this distance from 1 or nearer is a tie. The default is 0: only a ratio of exactly 1 is a tie. */\n  readonly tie?: number;\n  /** A gain or a loss counts only beyond this distance from 1. The default is 0. Use noiseFloor. */\n  readonly noise?: number;\n}\n\n/** The effect on the inputs that are not ties. */\nexport interface Effect {\n  readonly n: number;\n  readonly median: number;\n  /** The 0.1 quantile (linear). */\n  readonly p10: number;\n  /** The 0.9 quantile (linear). */\n  readonly p90: number;\n}\n\nexport interface Comparison {\n  /** The number of inputs. */\n  readonly n: number;\n  readonly ties: number;\n  /** The inputs where the candidate is better, by any amount. */\n  readonly wins: number;\n  /** The inputs where the candidate is worse, by any amount. */\n  readonly losses: number;\n  /** The one-sided sign test of wins against losses. */\n  readonly signP: number;\n  /** The ratios of the inputs that are not ties, or undefined when each input is a tie. */\n  readonly effect: Effect | undefined;\n  /** The inputs that gain beyond the noise. */\n  readonly gains: number;\n  /** The inputs that lose beyond the noise. */\n  readonly drops: number;\n  /** gains / n, with its Wilson interval. */\n  readonly gainShare: number;\n  readonly gainInterval: Proportion;\n  /** drops / n, with its Wilson interval. */\n  readonly dropShare: number;\n  readonly dropInterval: Proportion;\n}\n\n/**\n * The comparison of a candidate with a baseline, from the ratio candidate / baseline of each input. It answers the\n * three questions of a promotion. How often is the candidate better? By how much? How often is it worse beyond the\n * noise? A promotion reads `gains` against `drops` and `effect`, not `signP` alone, because a sign test counts a\n * win of any size.\n */\nexport function compareRatios(ratios: readonly number[], options: CompareOptions = {}): Comparison {\n  if (ratios.length === 0) throw new RangeError(\"compareRatios: the list is empty.\");\n  const sign = (options.better ?? \"higher\") === \"higher\" ? 1 : -1;\n  const tie = options.tie ?? 0;\n  const noise = options.noise ?? 0;\n  if (!(tie >= 0) || !(noise >= 0)) throw new RangeError(\"compareRatios: tie and noise are 0 or more.\");\n  let ties = 0;\n  let wins = 0;\n  let losses = 0;\n  let gains = 0;\n  let drops = 0;\n  const changed: number[] = [];\n  for (const ratio of ratios) {\n    if (!Number.isFinite(ratio)) throw new RangeError(`compareRatios: each ratio is a finite number, not ${ratio}.`);\n    const d = sign * (ratio - 1);\n    if (Math.abs(ratio - 1) <= tie) {\n      ties++;\n      continue;\n    }\n    changed.push(ratio);\n    if (d > 0) wins++;\n    else losses++;\n    if (d > noise) gains++;\n    else if (-d > noise) drops++;\n  }\n  const n = ratios.length;\n  const s = sorted(changed);\n  const effect = s.length === 0 ? undefined : { n: s.length, median: median(s), p10: quantileSorted(s, 0.1), p90: quantileSorted(s, 0.9) };\n  return {\n    n,\n    ties,\n    wins,\n    losses,\n    signP: signTest(wins, losses),\n    effect,\n    gains,\n    drops,\n    gainShare: gains / n,\n    gainInterval: wilson(gains, n),\n    dropShare: drops / n,\n    dropInterval: wilson(drops, n),\n  };\n}\n\n/** A prediction: the stated probability that the claim holds, and if it held. */\nexport interface Forecast {\n  readonly p: number;\n  readonly hit: boolean;\n}\n\nfunction checkedForecasts(name: string, forecasts: readonly Forecast[]): void {\n  if (forecasts.length === 0) throw new RangeError(`${name}: the list is empty.`);\n  for (const f of forecasts) if (!(f.p >= 0 && f.p <= 1)) throw new RangeError(`${name}: each p is from 0 to 1, not ${f.p}.`);\n}\n\n/** The Brier score: the mean of (p - outcome)^2. 0 is perfect, and 0.25 is a constant 0.5. Lower is better. */\nexport function brier(forecasts: readonly Forecast[]): number {\n  checkedForecasts(\"brier\", forecasts);\n  let sum = 0;\n  for (const f of forecasts) sum += (f.p - (f.hit ? 1 : 0)) ** 2;\n  return sum / forecasts.length;\n}\n\n/** The predictions of one stated level. */\nexport interface CalibrationLevel {\n  readonly stated: number;\n  readonly n: number;\n  readonly hits: number;\n  /** hits / n. A calibrated level has a rate near `stated`. */\n  readonly rate: number;\n  /** The Wilson interval of the rate. A level is overconfident when `stated` is above it. */\n  readonly interval: Proportion;\n}\n\n/** The hit rate of each stated level, from the lowest level. */\nexport function calibration(forecasts: readonly Forecast[]): CalibrationLevel[] {\n  checkedForecasts(\"calibration\", forecasts);\n  const levels = new Map<number, { n: number; hits: number }>();\n  for (const f of forecasts) {\n    const level = levels.get(f.p) ?? { n: 0, hits: 0 };\n    level.n++;\n    if (f.hit) level.hits++;\n    levels.set(f.p, level);\n  }\n  return [...levels]\n    .sort((a, b) => a[0] - b[0])\n    .map(([stated, { n, hits }]) => ({ stated, n, hits, rate: hits / n, interval: wilson(hits, n) 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+{"version":3,"file":"index.js","names":[],"sources":["../src/describe.ts","../src/bootstrap.ts","../src/tests.ts","../src/rank.ts","../src/compare.ts"],"sourcesContent":["/**\n * The descriptive statistics: the mean, the standard deviation, the median, the quantiles and a summary of a list.\n * Each function throws a RangeError for an empty list or for a value that is NaN. Thus a missing value cannot make a\n * quiet NaN in a record.\n */\n\n/** The two definitions of a quantile that the engines use (Hyndman and Fan, 1996). */\nexport type QuantileMethod =\n  /** Type 7: a linear step between the two nearest ranks. The default of R and NumPy. */\n  | \"linear\"\n  /** Type 1: the smallest value with at least the share `p` of the values at or below it. */\n  | \"nearest-rank\";\n\nfunction checked(name: string, values: readonly number[]): void {\n  if (values.length === 0) throw new RangeError(`${name}: the list is empty.`);\n  for (const v of values) if (Number.isNaN(v)) throw new RangeError(`${name}: the list has a NaN.`);\n}\n\n/** A new list with the values from the smallest to the largest. */\nexport function sorted(values: readonly number[]): number[] {\n  return [...values].sort((a, b) => a - b);\n}\n\nexport function mean(values: readonly number[]): number {\n  checked(\"mean\", values);\n  let sum = 0;\n  for (const v of values) sum += v;\n  return sum / values.length;\n}\n\n/** The sample standard deviation (the divisor is n - 1). It needs 2 values or more. */\nexport function sd(values: readonly number[]): number {\n  checked(\"sd\", values);\n  if (values.length < 2) throw new RangeError(\"sd: the list needs 2 values or more.\");\n  const m = mean(values);\n  let sum = 0;\n  for (const v of values) sum += (v - m) ** 2;\n  return Math.sqrt(sum / (values.length - 1));\n}\n\n/**\n * The `p` quantile of a list that is already sorted. Use it when you take several quantiles of one list.\n * The linear method gives the same numbers as the copies in highways, packing and layout-contract. The\n * nearest-rank method gives the same numbers as the copies in lag, lag-hud and the backtest of highways.\n */\nexport function quantileSorted(sortedValues: readonly number[], p: number, method: QuantileMethod = \"linear\"): number {\n  checked(\"quantile\", sortedValues);\n  if (!(p >= 0 && p <= 1)) throw new RangeError(`quantile: p is from 0 to 1, not ${p}.`);\n  const n = sortedValues.length;\n  if (method === \"nearest-rank\") return sortedValues[Math.min(n - 1, Math.max(0, Math.ceil(p * n) - 1))] as number;\n  const at = (n - 1) * p;\n  const low = Math.floor(at);\n  const part = at - low;\n  const a = sortedValues[low] as number;\n  if (part === 0) return a;\n  const b = sortedValues[low + 1] as number;\n  if (a === b) return a;\n  return a + part * (b - a);\n}\n\n/** The `p` quantile of a list. */\nexport function quantile(values: readonly number[], p: number, method: QuantileMethod = \"linear\"): number {\n  checked(\"quantile\", values);\n  return quantileSorted(sorted(values), p, method);\n}\n\n/**\n * The median: the middle value, or the midpoint `(a + b) / 2` of the two middle values. The midpoint is correctly\n * rounded. `quantile(values, 0.5)` computes `a + 0.5 * (b - a)`, which can differ from it in the last bit.\n */\nexport function median(values: readonly number[]): number {\n  checked(\"median\", values);\n  const s = sorted(values);\n  const middle = Math.floor(s.length / 2);\n  return s.length % 2 === 1 ? (s[middle] as number) : ((s[middle - 1] as number) + (s[middle] as number)) / 2;\n}\n\n/** The summary of a list. The quartiles use the linear method. */\nexport interface Summary {\n  readonly n: number;\n  readonly mean: number;\n  /** The sample standard deviation, or NaN for one value. */\n  readonly sd: number;\n  readonly min: number;\n  /** The 0.25 quantile. */\n  readonly q1: number;\n  readonly median: number;\n  /** The 0.75 quantile. */\n  readonly q3: number;\n  readonly max: number;\n  /** The interquartile range: q3 - q1. */\n  readonly iqr: number;\n}\n\nexport function summarize(values: readonly number[]): Summary {\n  checked(\"summarize\", values);\n  const s = sorted(values);\n  const q1 = quantileSorted(s, 0.25);\n  const q3 = quantileSorted(s, 0.75);\n  return {\n    n: s.length,\n    // The mean and sd of the list in its own order, so that they are equal to mean(values) and sd(values).\n    mean: mean(values),\n    sd: s.length < 2 ? Number.NaN : sd(values),\n    min: s[0] as number,\n    q1,\n    median: median(s),\n    q3,\n    max: s[s.length - 1] as number,\n    iqr: q3 - q1,\n  };\n}\n","/**\n * The percentile bootstrap. Each run draws n items with replacement (`below(n)` of rigor-generators, which is\n * `floor(next() * n)`), and computes the statistic of the sample. The interval is two quantiles of the statistics.\n * With the same seed, the draws are equal to the draws of the copies in highways, packing and layout-contract.\n * `bootstrapTwo` draws two independent samples in each run: first the items of `a`, then the items of `b`.\n */\nimport { type Random, random } from \"@mark1russell7/rigor-generators\";\nimport { type QuantileMethod, median, quantileSorted, sorted } from \"./describe.ts\";\n\nexport interface BootstrapOptions {\n  /** The number of samples. The default is 10 000. */\n  readonly runs?: number;\n  /** The level of the interval. The default is 0.95. */\n  readonly level?: number;\n  /** The seed of the draws. The default is 1. */\n  readonly seed?: number | string;\n  /** The quantile method of the two ends of the interval. The default is linear. */\n  readonly method?: QuantileMethod;\n  /**\n   * The quantiles of the two ends, in place of `level`, for example [0.025, 0.975] or an interval with one side.\n   * The default is from the level: (1 - level) / 2 and 1 - (1 - level) / 2. In floating point, (1 - 0.95) / 2 is\n   * not 0.025, so a copy that writes 0.025 needs this option to give the same numbers.\n   */\n  readonly ends?: readonly [number, number];\n}\n\nexport interface Interval {\n  /** The statistic of all the data. */\n  readonly estimate: number;\n  readonly low: number;\n  readonly high: number;\n  readonly level: number;\n  readonly runs: number;\n  /** The number of runs whose statistic is a finite number. Only these runs make the interval. */\n  readonly finite: number;\n  /** The seed as a 32-bit number. */\n  readonly seed: number;\n}\n\n/**\n * A percentile bootstrap interval of `statistic` over `data`. A run whose statistic is not finite (NaN or an\n * infinity) does not count. When no run is finite, low and high are equal to the estimate.\n */\nexport function bootstrap<T>(data: readonly T[], statistic: (sample: readonly T[]) => number, options: BootstrapOptions = {}): Interval {\n  if (data.length === 0) throw new RangeError(\"bootstrap: the data is empty.\");\n  const n = data.length;\n  const sample = new Array<T>(n);\n  return percentile(\n    \"bootstrap\",\n    options,\n    (r) => {\n      for (let i = 0; i < n; i++) sample[i] = data[r.below(n)] as T;\n      return statistic(sample);\n    },\n    () => statistic(data),\n  );\n}\n\n/**\n * A percentile bootstrap interval of `statistic` over two independent samples `a` and `b`. Use it when the two\n * samples are not paired, for example two arms of a benchmark. Each run draws `a.length` items of `a` with\n * replacement, and then `b.length` items of `b` with replacement. All the draws come from one stream of\n * `random(seed)`. The statistic reads the two drawn samples. The estimate is the statistic of all of `a` and `b`. A\n * run whose statistic is not finite does not count. When no run is finite, low and high are equal to the estimate.\n */\nexport function bootstrapTwo<A, B>(\n  a: readonly A[],\n  b: readonly B[],\n  statistic: (a: readonly A[], b: readonly B[]) => number,\n  options: BootstrapOptions = {},\n): Interval {\n  if (a.length === 0) throw new RangeError(\"bootstrapTwo: the first sample is empty.\");\n  if (b.length === 0) throw new RangeError(\"bootstrapTwo: the second sample is empty.\");\n  const na = a.length;\n  const nb = b.length;\n  const sampleA = new Array<A>(na);\n  const sampleB = new Array<B>(nb);\n  return percentile(\n    \"bootstrapTwo\",\n    options,\n    (r) => {\n      for (let i = 0; i < na; i++) sampleA[i] = a[r.below(na)] as A;\n      for (let i = 0; i < nb; i++) sampleB[i] = b[r.below(nb)] as B;\n      return statistic(sampleA, sampleB);\n    },\n    () => statistic(a, b),\n  );\n}\n\n/**\n * A bootstrap interval of the ratio `median(numerator) / median(denominator)` of two independent samples. The\n * interval is the uncertainty of the ratio of the two medians. It is not the spread of the samples. A run whose\n * denominator median is 0 is not finite, so it does not count.\n */\nexport function bootstrapMedianRatio(numerator: readonly number[], denominator: readonly number[], options: BootstrapOptions = {}): Interval {\n  return bootstrapTwo(numerator, denominator, (a, b) => median(a) / median(b), options);\n}\n\n/**\n * The shared part of each percentile bootstrap. It examines the options, and starts one stream of `random(seed)`.\n * Each run gives the stream to `run`, which draws the samples and returns their statistic. Then `all` gives the\n * estimate. The order of the draws is the order in `run`.\n */\nfunction percentile(name: string, options: BootstrapOptions, run: (r: Random) => number, all: () => number): Interval {\n  const runs = options.runs ?? 10_000;\n  if (!Number.isSafeInteger(runs) || runs < 1) throw new RangeError(`${name}: runs is a whole number of 1 or more, not ${runs}.`);\n  const tail = (1 - (options.level ?? 0.95)) / 2;\n  const [lowEnd, highEnd] = options.ends ?? [tail, 1 - tail];\n  if (!(lowEnd >= 0 && lowEnd < highEnd && highEnd <= 1)) throw new RangeError(`${name}: the ends are 0 <= low < high <= 1, not ${lowEnd} and ${highEnd}.`);\n  const level = options.ends ? highEnd - lowEnd : (options.level ?? 0.95);\n  if (!(level > 0 && level < 1)) throw new RangeError(`${name}: level is more than 0 and less than 1, not ${level}.`);\n  const r = random(options.seed ?? 1);\n  const values: number[] = [];\n  for (let i = 0; i < runs; i++) {\n    const v = run(r);\n    if (Number.isFinite(v)) values.push(v);\n  }\n  const estimate = all();\n  if (values.length === 0) return { estimate, low: estimate, high: estimate, level, runs, finite: 0, seed: r.seed };\n  const s = sorted(values);\n  const method = options.method ?? \"linear\";\n  return { estimate, low: quantileSorted(s, lowEnd, method), high: quantileSorted(s, highEnd, method), level, runs, finite: s.length, seed: r.seed };\n}\n\n/** A bootstrap interval of the median. */\nexport function bootstrapMedian(values: readonly number[], options: BootstrapOptions = {}): Interval {\n  return bootstrap(values, median, options);\n}\n\n/**\n * A cluster bootstrap: each run draws whole clusters with replacement, and the statistic reads the rows of the drawn\n * clusters. Use it when the rows of one cluster (one board, one seed, one site) are not independent. The clusters\n * are in the order of their first row.\n */\nexport function bootstrapClusters<T>(\n  rows: readonly T[],\n  cluster: (row: T) => string,\n  statistic: (rows: readonly T[]) => number,\n  options: BootstrapOptions = {},\n): Interval {\n  const groups = new Map<string, T[]>();\n  for (const row of rows) {\n    const key = cluster(row);\n    const list = groups.get(key);\n    if (list) list.push(row);\n    else groups.set(key, [row]);\n  }\n  const clusters = [...groups.values()];\n  const result = bootstrap(clusters, (drawn) => statistic(drawn.flat()), options);\n  // The estimate of all the rows in their own order, not in the order of the clusters.\n  const estimate = statistic(rows);\n  return result.finite === 0 ? { ...result, estimate, low: estimate, high: estimate } : { ...result, estimate };\n}\n","/**\n * The tests of a difference: the sign test, the paired permutation test, the Wilson interval of a proportion and\n * the Holm correction for several tests.\n */\nimport { random } from \"@mark1russell7/rigor-generators\";\nimport { mean } from \"./describe.ts\";\n\nfunction whole(name: string, value: number): void {\n  if (!Number.isSafeInteger(value) || value < 0) throw new RangeError(`${name}: ${value} is not a whole number of 0 or more.`);\n}\n\n/** The log of each binomial term C(n, k) / 2^n, for each k from 0 to n. */\nfunction halfBinomialLogs(n: number): number[] {\n  const logs: number[] = [];\n  let logChoose = 0;\n  for (let i = 0; i <= n; i++) {\n    if (i > 0) logChoose += Math.log((n - i + 1) / i);\n    logs.push(logChoose - n * Math.LN2);\n  }\n  return logs;\n}\n\n/** P(X >= k) for X ~ Binomial(n, 1/2), summed from the largest term so that a small tail keeps its digits. */\nfunction upperTail(k: number, n: number): number {\n  if (k <= 0) return 1;\n  if (k > n) return 0;\n  const logs = halfBinomialLogs(n).slice(k);\n  const top = Math.max(...logs);\n  const sum = logs.reduce((s, l) => s + Math.exp(l - top), 0);\n  return Math.min(1, Math.exp(top) * sum);\n}\n\n/**\n * The sign test of paired results: `better` inputs where the candidate wins and `worse` where it loses. The ties\n * do not count. One-sided (the default), it is the p of `better` wins or more if the two are equal. Two-sided, it is\n * two times the tail of the larger count, at most 1. The one-sided p is equal to `signTestP` of packing.\n */\nexport function signTest(better: number, worse: number, sides: 1 | 2 = 1): number {\n  whole(\"signTest\", better);\n  whole(\"signTest\", worse);\n  const n = better + worse;\n  if (n === 0) return 1;\n  if (sides === 1) return upperTail(better, n);\n  return Math.min(1, 2 * upperTail(Math.max(better, worse), n));\n}\n\n/**\n * The smallest number of wins out of `n` that the sign test calls significant at `level`. It is undefined when even\n * n wins out of n are not enough. Use it before a run, to know how many inputs a claim needs.\n */\nexport function signTestPower(n: number, level = 0.05, sides: 1 | 2 = 2): number | undefined {\n  whole(\"signTestPower\", n);\n  for (let k = Math.ceil(n / 2); k <= n; k++) if (signTest(k, n - k, sides) < level) return k;\n  return undefined;\n}\n\n/** The z of a two-sided 95% interval. */\nexport const Z95 = 1.959963984540054;\n\n/** An interval of a proportion. */\nexport interface Proportion {\n  readonly low: number;\n  readonly high: number;\n}\n\n/**\n * The Wilson score interval of `k` successes in `n` trials (Wilson, 1927). It keeps its level for a small n and for\n * a proportion near 0 or 1, where the normal interval does not. For n = 0 the interval is 0 to 1.\n */\nexport function wilson(k: number, n: number, z: number = Z95): Proportion {\n  whole(\"wilson\", k);\n  whole(\"wilson\", n);\n  if (k > n) throw new RangeError(`wilson: k ${k} is more than n ${n}.`);\n  if (n === 0) return { low: 0, high: 1 };\n  const p = k / n;\n  const z2 = z * z;\n  const denominator = 1 + z2 / n;\n  const center = (p + z2 / (2 * n)) / denominator;\n  const half = (z / denominator) * Math.sqrt((p * (1 - p)) / n + z2 / (4 * n * n));\n  return { low: Math.max(0, center - half), high: Math.min(1, center + half) };\n}\n\n/** One test after the Holm correction. */\nexport interface Corrected {\n  /** The p of the test. */\n  readonly p: number;\n  /** The p after the correction: compare it with the level of the whole family. */\n  readonly adjusted: number;\n  /** The adjusted p is less than the level. */\n  readonly reject: boolean;\n}\n\n/**\n * The Holm step-down correction of a family of tests (Holm, 1979). It keeps the chance of one false claim or more\n * in the family at most `level`. It has no condition on how the tests depend on each other. The result is in the\n * order of the input.\n */\nexport function holm(pValues: readonly number[], level = 0.05): Corrected[] {\n  for (const p of pValues) if (!(p >= 0 && p <= 1)) throw new RangeError(`holm: each p is from 0 to 1, not ${p}.`);\n  const m = pValues.length;\n  const order = pValues.map((p, i) => ({ p, i })).sort((a, b) => a.p - b.p || a.i - b.i);\n  const adjusted = new Array<number>(m);\n  let running = 0;\n  order.forEach(({ p, i }, rank) => {\n    running = Math.max(running, Math.min(1, (m - rank) * p));\n    adjusted[i] = running;\n  });\n  return pValues.map((p, i) => ({ p, adjusted: adjusted[i] as number, reject: (adjusted[i] as number) < level }));\n}\n\nexport interface PermutationOptions {\n  /** The number of random sign flips. The default is 10 000. */\n  readonly runs?: number;\n  /** The default is 1. */\n  readonly seed?: number | string;\n  /** The statistic of the differences. The default is the mean. */\n  readonly statistic?: (differences: readonly number[]) => number;\n}\n\nexport interface PermutationResult {\n  /** The statistic of the observed differences `candidate[i] - baseline[i]`. */\n  readonly observed: number;\n  /** The two-sided p: (1 + the flips with a statistic as far from 0 or farther) / (1 + runs). */\n  readonly p: number;\n  readonly runs: number;\n}\n\n/**\n * The paired permutation test (a random sign flip of each difference). It needs no normal distribution and uses\n * the size of each difference, which the sign test does not. A pair with a difference of 0 adds nothing.\n */\nexport function pairedPermutation(candidate: readonly number[], baseline: readonly number[], options: PermutationOptions = {}): PermutationResult {\n  if (candidate.length !== baseline.length) throw new RangeError(`pairedPermutation: the lists have ${candidate.length} and ${baseline.length} values.`);\n  const differences = candidate.map((c, i) => c - (baseline[i] as number));\n  const statistic = options.statistic ?? mean;\n  const runs = options.runs ?? 10_000;\n  if (!Number.isSafeInteger(runs) || runs < 1) throw new RangeError(`pairedPermutation: runs is a whole number of 1 or more, not ${runs}.`);\n  const observed = statistic(differences);\n  const r = random(options.seed ?? 1);\n  const flipped = new Array<number>(differences.length);\n  let extreme = 0;\n  for (let run = 0; run < runs; run++) {\n    for (let i = 0; i < differences.length; i++) flipped[i] = r.next() < 0.5 ? -(differences[i] as number) : (differences[i] as number);\n    // A small tolerance, so that a flip with the same statistic up to rounding counts as extreme.\n    if (Math.abs(statistic(flipped)) >= Math.abs(observed) * (1 - 1e-12)) extreme++;\n  }\n  return { observed, p: (1 + extreme) / (1 + runs), runs };\n}\n","/**\n * Rank correlation: do two measures put the same items in the same order? Use it to test that a cheap proxy (a\n * predicted cost, a fast measure) orders the items as the real measure does.\n */\nimport { random } from \"@mark1russell7/rigor-generators\";\n\nfunction samePairs(name: string, a: readonly number[], b: readonly number[]): void {\n  if (a.length !== b.length) throw new RangeError(`${name}: the lists have ${a.length} and ${b.length} values.`);\n  for (const v of a) if (Number.isNaN(v)) throw new RangeError(`${name}: the first list has a NaN.`);\n  for (const v of b) if (Number.isNaN(v)) throw new RangeError(`${name}: the second list has a NaN.`);\n}\n\n/** The ranks of the values, from 1. Equal values get the mean of their ranks. */\nexport function ranks(values: readonly number[]): number[] {\n  const order = values.map((x, i) => [x, i] as const).sort((p, q) => p[0] - q[0]);\n  const out = new Array<number>(values.length);\n  for (let i = 0; i < order.length; ) {\n    let j = i;\n    while (j + 1 < order.length && (order[j + 1] as readonly [number, number])[0] === (order[i] as readonly [number, number])[0]) j++;\n    for (let k = i; k <= j; k++) out[(order[k] as readonly [number, number])[1]] = (i + j) / 2 + 1;\n    i = j + 1;\n  }\n  return out;\n}\n\n/**\n * The Spearman rank correlation: the Pearson correlation of the ranks, with mean ranks for ties. The value is from\n * -1 to 1. When one list has no spread, the value is 0. It is equal to the copy in the backtest of highways.\n */\nexport function spearman(a: readonly number[], b: readonly number[]): number {\n  samePairs(\"spearman\", a, b);\n  const ra = ranks(a);\n  const rb = ranks(b);\n  const mean = (xs: readonly number[]): number => xs.reduce((s, x) => s + x, 0) / xs.length;\n  const ma = mean(ra);\n  const mb = mean(rb);\n  let num = 0;\n  let da = 0;\n  let db = 0;\n  for (let i = 0; i < ra.length; i++) {\n    num += ((ra[i] as number) - ma) * ((rb[i] as number) - mb);\n    da += ((ra[i] as number) - ma) ** 2;\n    db += ((rb[i] as number) - mb) ** 2;\n  }\n  return da === 0 || db === 0 ? 0 : num / Math.sqrt(da * db);\n}\n\n/** The largest number of values for which `kendallTau` examines each pair. Above it, a seeded sample of pairs. */\nexport const KENDALL_EXACT = 1500;\nconst KENDALL_SAMPLE = 200_000;\n\n/**\n * The Kendall tau-b of two lists (Kendall, 1938). The value is from -1 to 1. A pair with a tie in both lists does\n * not count. When the lists have fewer than 2 values, or no pair counts, the value is 1. Above `KENDALL_EXACT`\n * values, a seeded sample of 200 000 pairs gives an estimate. It is equal to the copy in highways.\n */\nexport function kendallTau(a: readonly number[], b: readonly number[], seed: number | string = 1): number {\n  samePairs(\"kendallTau\", a, b);\n  const n = a.length;\n  if (n < 2) return 1;\n  let concordant = 0;\n  let discordant = 0;\n  let tieA = 0;\n  let tieB = 0;\n  const visit = (i: number, j: number): void => {\n    const da = Math.sign((a[i] as number) - (a[j] as number));\n    const db = Math.sign((b[i] as number) - (b[j] as number));\n    if (da === 0 && db === 0) return;\n    if (da === 0) tieA++;\n    else if (db === 0) tieB++;\n    else if (da === db) concordant++;\n    else discordant++;\n  };\n  if (n <= KENDALL_EXACT) {\n    for (let i = 0; i < n; i++) for (let j = i + 1; j < n; j++) visit(i, j);\n  } else {\n    const r = random(seed);\n    for (let k = 0; k < KENDALL_SAMPLE; k++) {\n      const i = r.below(n);\n      const j = r.below(n);\n      if (i !== j) visit(i, j);\n    }\n  }\n  const den = Math.sqrt((concordant + discordant + tieA) * (concordant + discordant + tieB));\n  return den === 0 ? 1 : (concordant - discordant) / den;\n}\n","/**\n * The comparison of a candidate with a baseline, and the calibration of predictions. These functions make two fleet\n * rules into code. First, a change of a default is judged against the current default. The measure is the inputs that\n * gain and the inputs that lose beyond the noise, with the effect size. A sign test alone is not enough. Second, each\n * prediction states a probability, and the Brier score measures how good the stated probabilities were.\n */\nimport { median, quantileSorted, sd, sorted } from \"./describe.ts\";\nimport { type Proportion, signTest, wilson } from \"./tests.ts\";\n\nexport interface NoiseOptions {\n  /** The number of standard deviations. The default is 2. */\n  readonly k?: number;\n  /** The fewest values (seeds or folds) that give a floor. The default is 5, the 5-seed rule. */\n  readonly minimum?: number;\n}\n\n/**\n * The noise floor of a measure: k sample standard deviations of its value over independent seeds or folds. A\n * difference smaller than the floor is not a result.\n */\nexport function noiseFloor(values: readonly number[], options: NoiseOptions = {}): number {\n  const minimum = options.minimum ?? 5;\n  if (values.length < minimum) throw new RangeError(`noiseFloor: ${values.length} values; the rule needs ${minimum} or more seeds or folds.`);\n  return (options.k ?? 2) * sd(values);\n}\n\nexport interface CompareOptions {\n  /** \"higher\" (the default): a ratio above 1 is a gain. \"lower\": a ratio below 1 is a gain, as for a time or a cost. */\n  readonly better?: \"higher\" | \"lower\";\n  /** A ratio at this distance from 1 or nearer is a tie. The default is 0: only a ratio of exactly 1 is a tie. */\n  readonly tie?: number;\n  /** A gain or a loss counts only beyond this distance from 1. The default is 0. Use noiseFloor. */\n  readonly noise?: number;\n}\n\n/** The effect on the inputs that are not ties. */\nexport interface Effect {\n  readonly n: number;\n  readonly median: number;\n  /** The 0.1 quantile (linear). */\n  readonly p10: number;\n  /** The 0.9 quantile (linear). */\n  readonly p90: number;\n}\n\nexport interface Comparison {\n  /** The number of inputs. */\n  readonly n: number;\n  readonly ties: number;\n  /** The inputs where the candidate is better, by any amount. */\n  readonly wins: number;\n  /** The inputs where the candidate is worse, by any amount. */\n  readonly losses: number;\n  /** The one-sided sign test of wins against losses. */\n  readonly signP: number;\n  /** The ratios of the inputs that are not ties, or undefined when each input is a tie. */\n  readonly effect: Effect | undefined;\n  /** The inputs that gain beyond the noise. */\n  readonly gains: number;\n  /** The inputs that lose beyond the noise. */\n  readonly drops: number;\n  /** gains / n, with its Wilson interval. */\n  readonly gainShare: number;\n  readonly gainInterval: Proportion;\n  /** drops / n, with its Wilson interval. */\n  readonly dropShare: number;\n  readonly dropInterval: Proportion;\n}\n\n/**\n * The comparison of a candidate with a baseline, from the ratio candidate / baseline of each input. It answers the\n * three questions of a promotion. How often is the candidate better? By how much? How often is it worse beyond the\n * noise? A promotion reads `gains` against `drops` and `effect`, not `signP` alone, because a sign test counts a\n * win of any size.\n */\nexport function compareRatios(ratios: readonly number[], options: CompareOptions = {}): Comparison {\n  if (ratios.length === 0) throw new RangeError(\"compareRatios: the list is empty.\");\n  const sign = (options.better ?? \"higher\") === \"higher\" ? 1 : -1;\n  const tie = options.tie ?? 0;\n  const noise = options.noise ?? 0;\n  if (!(tie >= 0) || !(noise >= 0)) throw new RangeError(\"compareRatios: tie and noise are 0 or more.\");\n  let ties = 0;\n  let wins = 0;\n  let losses = 0;\n  let gains = 0;\n  let drops = 0;\n  const changed: number[] = [];\n  for (const ratio of ratios) {\n    if (!Number.isFinite(ratio)) throw new RangeError(`compareRatios: each ratio is a finite number, not ${ratio}.`);\n    const d = sign * (ratio - 1);\n    if (Math.abs(ratio - 1) <= tie) {\n      ties++;\n      continue;\n    }\n    changed.push(ratio);\n    if (d > 0) wins++;\n    else losses++;\n    if (d > noise) gains++;\n    else if (-d > noise) drops++;\n  }\n  const n = ratios.length;\n  const s = sorted(changed);\n  const effect = s.length === 0 ? undefined : { n: s.length, median: median(s), p10: quantileSorted(s, 0.1), p90: quantileSorted(s, 0.9) };\n  return {\n    n,\n    ties,\n    wins,\n    losses,\n    signP: signTest(wins, losses),\n    effect,\n    gains,\n    drops,\n    gainShare: gains / n,\n    gainInterval: wilson(gains, n),\n    dropShare: drops / n,\n    dropInterval: wilson(drops, n),\n  };\n}\n\n/** A prediction: the stated probability that the claim holds, and if it held. */\nexport interface Forecast {\n  readonly p: number;\n  readonly hit: boolean;\n}\n\nfunction checkedForecasts(name: string, forecasts: readonly Forecast[]): void {\n  if (forecasts.length === 0) throw new RangeError(`${name}: the list is empty.`);\n  for (const f of forecasts) if (!(f.p >= 0 && f.p <= 1)) throw new RangeError(`${name}: each p is from 0 to 1, not ${f.p}.`);\n}\n\n/** The Brier score: the mean of (p - outcome)^2. 0 is perfect, and 0.25 is a constant 0.5. Lower is better. */\nexport function brier(forecasts: readonly Forecast[]): number {\n  checkedForecasts(\"brier\", forecasts);\n  let sum = 0;\n  for (const f of forecasts) sum += (f.p - (f.hit ? 1 : 0)) ** 2;\n  return sum / forecasts.length;\n}\n\n/** The predictions of one stated level. */\nexport interface CalibrationLevel {\n  readonly stated: number;\n  readonly n: number;\n  readonly hits: number;\n  /** hits / n. A calibrated level has a rate near `stated`. */\n  readonly rate: number;\n  /** The Wilson interval of the rate. A level is overconfident when `stated` is above it. */\n  readonly interval: Proportion;\n}\n\n/** The hit rate of each stated level, from the lowest level. */\nexport function calibration(forecasts: readonly Forecast[]): CalibrationLevel[] {\n  checkedForecasts(\"calibration\", forecasts);\n  const levels = new Map<number, { n: number; hits: number }>();\n  for (const f of forecasts) {\n    const level = levels.get(f.p) ?? { n: 0, hits: 0 };\n    level.n++;\n    if (f.hit) level.hits++;\n    levels.set(f.p, level);\n  }\n  return [...levels]\n    .sort((a, b) => a[0] - b[0])\n    .map(([stated, { n, hits }]) => ({ stated, n, hits, rate: hits / n, interval: wilson(hits, n) 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package/package.json

@@ -1,7 +1,7 @@
 {
   "$schema": "https://json.schemastore.org/package",
   "name": "@mark1russell7/rigor-statistics",
-  "version": "0.1.0",
+  "version": "0.1.1",
   "description": "The statistics of measured work: quantiles, bootstrap intervals, the sign test, the paired permutation test, Wilson intervals, the Holm correction, rank correlation, the comparison with a baseline beyond the noise, and the Brier score.",
   "keywords": [
     "statistics",