@mark1russell7/rigor-statistics 0.1.11 → 0.1.13

package/README.md

@@ -115,12 +115,14 @@ The default expansion has one product for each pair of levels of two dimensions.
 | `ridgeSolve(gram, moment, lambda, { free })` | The ridge coefficients from the normal equations `X'X` and `X'y`, with a Cholesky factorization. The `free` coefficients have no penalty. A matrix that is not positive definite gives NaN coefficients. |
 | `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. |
+| `twoSamplePermutation(a, b, options)` | The two-sample permutation test (a split of the pooled values). It reads each split when their count is `runs` or less, so the p is exact. It compares groups of different sizes, and its default statistic is the difference of the medians. |
 | `wilson(k, n, z)` | The Wilson interval of a proportion. |
 | `medianInterval(values, level)` | The distribution-free interval of a median, from two order statistics. It gives `low`, `high`, the `rank` of `low` and the `coverage`. |
 | `quantileInterval(values, p, level)` | The distribution-free interval of a quantile, from two order statistics. A side with no rank is infinite. The values must be independent draws. |
 | `quantileSamples(p, level)` | The fewest independent values that give a quantile an upper bound. At the level 0.95: 72 values for p95, 368 for p99 and 3,688 for p99.9. |
 | `binomialInterval(n, p, level)`, `negativeBinomialInterval(successes, p, level)` | The central interval of a binomial count, and of a count of failures before `successes` successes. Each tail outside holds `(1 - level) / 2` or less. |
 | `holm(pValues, level)` | The Holm correction of a family of tests. |
+| `partialConjunction(pValues, need)` | The p of the claim that at least `need` of these tests have a real effect. |
 | `spearman`, `kendallTau`, `ranks` | The rank correlations, with mean ranks for ties. |
 | `compareRatios`, `noiseFloor`, `noiseVerdict` | The comparison with a baseline, the noise floor of the 5-seed rule with a margin of practical effect, and the state of a difference over the seeds. |
 | `modeCount(values, { minShare, valleyRatio })` | The count of the modes of a sample, from a kernel density estimate. |

package/build/index.d.ts

@@ -760,6 +760,12 @@ interface Corrected {
  * order of the input.
  */
 export declare function holm(pValues: readonly number[], level?: number): Corrected[];
+/**
+ * The p of the claim "at least `need` of these tests have a real effect" (Benjamini and Heller, 2008). The value is
+ * `(m - need + 1)` times the `need`-th smallest p, at most 1. It has no condition on how the tests depend on each other.
+ * With 2 tests and `need` 2, the value is the larger p.
+ */
+export declare function partialConjunction(pValues: readonly number[], need: number): number;
 interface PermutationOptions {
   /** The number of random sign flips. The default is 10 000. */
   readonly runs?: number;
@@ -780,6 +786,28 @@ interface PermutationResult {
  * the size of each difference, which the sign test does not. A pair with a difference of 0 adds nothing.
  */
 export declare function pairedPermutation(candidate: readonly number[], baseline: readonly number[], options?: PermutationOptions): PermutationResult;
+/** The options of `twoSamplePermutation`. */
+interface TwoSamplePermutationOptions {
+  /** The largest number of splits that the test reads. The default is 10 000. */
+  readonly runs?: number;
+  /** The default is 1. */
+  readonly seed?: number | string;
+  /** The statistic of the two groups. The default is the median of `a` minus the median of `b`. */
+  readonly statistic?: (a: readonly number[], b: readonly number[]) => number;
+}
+/** The result of `twoSamplePermutation`. */
+interface TwoSamplePermutationResult extends PermutationResult {
+  /** This field is true when the test read each split, so the p has no noise from the draws. */
+  readonly exact: boolean;
+}
+/**
+ * The two-sample permutation test (a split of the pooled values). It needs no normal distribution and no pairs, so it
+ * compares groups of different sizes. The p holds only if the values of the two groups can change places under the null.
+ *
+ * When the count of the splits is `runs` or less, the test reads each split, and the p is exact. Otherwise it draws `runs`
+ * random splits. A drawn p has noise: a level of 0.001 is 10 counts at 10 000 runs. So give enough runs for a small level.
+ */
+export declare function twoSamplePermutation(a: readonly number[], b: readonly number[], options?: TwoSamplePermutationOptions): TwoSamplePermutationResult;
 /** The ranks of the values, from 1. Equal values get the mean of their ranks. */
 export declare function ranks(values: readonly number[]): number[];
 /**
@@ -970,5 +998,5 @@ interface CalibrationLevel {
 }
 /** The hit rate of each stated level, from the lowest level. */
 export declare function calibration(forecasts: readonly Forecast[]): CalibrationLevel[];
-export type { BootstrapOptions, CalibrationLevel, CategoricalDimension, CompareOptions, Comparison, ContinuousDimension, Corrected, CountInterval, Effect, Forecast, Interval, LeastSquaresFit, LeastSquaresOptions, MedianInterval, ModeOptions, NoiseOptions, NoiseState, NoiseVerdict, OrdinalDimension, ParsedResponseRecord, PermutationOptions, PermutationResult, Proportion, QuantileInterval, QuantileMethod, ResponseAbsentPoint, ResponseBand, ResponseCurvePoint, ResponseData, ResponseDimension, ResponseDimensionBase, ResponseFactor, ResponseFault, ResponseFitOptions, ResponseFold, ResponseFoldError, ResponseHeldOutError, ResponseInputValue, ResponseMeasure, ResponseModel, ResponseModelBase, ResponsePoint, ResponseReason, ResponseRecord, ResponseSlice, ResponseSliceOptions, ResponseSlicePoint, ResponseSurface, ResponseSurfaceAbsentPoint, ResponseSurfaceOptions, ResponseSurfacePoint, ResponseTableCell, ResponseValue, ResponseViewOptions, ResponseWhen, RidgeInput, RidgeInputBase, RidgeLevelInput, RidgeNumberInput, RidgeOptions, RidgeRankInput, RidgeResponseModel, RidgeTerm, SmoothLaw, SmoothLawScore, Summary, TableResponseModel };
+export type { BootstrapOptions, CalibrationLevel, CategoricalDimension, CompareOptions, Comparison, ContinuousDimension, Corrected, CountInterval, Effect, Forecast, Interval, LeastSquaresFit, LeastSquaresOptions, MedianInterval, ModeOptions, NoiseOptions, NoiseState, NoiseVerdict, OrdinalDimension, ParsedResponseRecord, PermutationOptions, PermutationResult, Proportion, QuantileInterval, QuantileMethod, ResponseAbsentPoint, ResponseBand, ResponseCurvePoint, ResponseData, ResponseDimension, ResponseDimensionBase, ResponseFactor, ResponseFault, ResponseFitOptions, ResponseFold, ResponseFoldError, ResponseHeldOutError, ResponseInputValue, ResponseMeasure, ResponseModel, ResponseModelBase, ResponsePoint, ResponseReason, ResponseRecord, ResponseSlice, ResponseSliceOptions, ResponseSlicePoint, ResponseSurface, ResponseSurfaceAbsentPoint, ResponseSurfaceOptions, ResponseSurfacePoint, ResponseTableCell, ResponseValue, ResponseViewOptions, ResponseWhen, RidgeInput, RidgeInputBase, RidgeLevelInput, RidgeNumberInput, RidgeOptions, RidgeRankInput, RidgeResponseModel, RidgeTerm, SmoothLaw, SmoothLawScore, Summary, TableResponseModel, TwoSamplePermutationOptions, TwoSamplePermutationResult };
 //# sourceMappingURL=index.d.ts.map

package/build/index.d.ts.map

@@ -1 +1 @@
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package/build/index.js

@@ -2281,6 +2281,19 @@ function holm(pValues, level = .05) {
 	}));
 }
 /**
+* The p of the claim "at least `need` of these tests have a real effect" (Benjamini and Heller, 2008). The value is
+* `(m - need + 1)` times the `need`-th smallest p, at most 1. It has no condition on how the tests depend on each other.
+* With 2 tests and `need` 2, the value is the larger p.
+*/
+function partialConjunction(pValues, need) {
+	for (const p of pValues) if (!(p >= 0 && p <= 1)) throw new RangeError(`partialConjunction: each p is from 0 to 1, not ${p}.`);
+	whole$1("partialConjunction", need);
+	const m = pValues.length;
+	if (need < 1 || need > m) throw new RangeError(`partialConjunction: need is from 1 to the count of tests ${m}, not ${need}.`);
+	const sorted = [...pValues].sort((a, b) => a - b);
+	return Math.min(1, (m - need + 1) * sorted[need - 1]);
+}
+/**
 * The paired permutation test (a random sign flip of each difference). It needs no normal distribution and uses
 * the size of each difference, which the sign test does not. A pair with a difference of 0 adds nothing.
 */
@@ -2304,6 +2317,72 @@ function pairedPermutation(candidate, baseline, options = {}) {
 		runs
 	};
 }
+/** This function gives the count of the ways to choose `k` of `n`, or Infinity when the count is over `limit`. */
+function choices(n, k, limit) {
+	const small = Math.min(k, n - k);
+	let count = 1;
+	for (let i = 1; i <= small; i++) {
+		count = count * (n - small + i) / i;
+		if (count > limit) return Number.POSITIVE_INFINITY;
+	}
+	return count;
+}
+/** This function counts the splits of `pool` into a first group of `size` values that pass the test `extreme`, over each split. */
+function countEachSplit(pool, size, extreme) {
+	const chosen = Array.from({ length: size }, (_, i) => i);
+	let count = 0;
+	for (;;) {
+		const a = [];
+		const b = [];
+		for (const [i, value] of pool.entries()) (chosen[a.length] === i ? a : b).push(value);
+		if (extreme(a, b)) count++;
+		let place = size - 1;
+		while (place >= 0 && chosen[place] === pool.length - size + place) place--;
+		if (place < 0) return count;
+		let index = chosen[place] + 1;
+		for (let j = place; j < size; j++) chosen[j] = index++;
+	}
+}
+/**
+* The two-sample permutation test (a split of the pooled values). It needs no normal distribution and no pairs, so it
+* compares groups of different sizes. The p holds only if the values of the two groups can change places under the null.
+*
+* When the count of the splits is `runs` or less, the test reads each split, and the p is exact. Otherwise it draws `runs`
+* random splits. A drawn p has noise: a level of 0.001 is 10 counts at 10 000 runs. So give enough runs for a small level.
+*/
+function twoSamplePermutation(a, b, options = {}) {
+	if (a.length === 0 || b.length === 0) throw new RangeError(`twoSamplePermutation: the groups have ${a.length} and ${b.length} values, and each group needs one or more.`);
+	const statistic = options.statistic ?? ((x, y) => median(x) - median(y));
+	const runs = options.runs ?? 1e4;
+	if (!Number.isSafeInteger(runs) || runs < 1) throw new RangeError(`twoSamplePermutation: runs is a whole number of 1 or more, not ${runs}.`);
+	const observed = statistic(a, b);
+	const pool = [...a, ...b];
+	const isExtreme = (x, y) => Math.abs(statistic(x, y)) >= Math.abs(observed) * (1 - 1e-12);
+	const splits = choices(pool.length, a.length, runs);
+	if (Number.isFinite(splits)) return {
+		observed,
+		p: countEachSplit(pool, a.length, isExtreme) / splits,
+		runs: splits,
+		exact: true
+	};
+	const r = random(options.seed ?? 1);
+	let extreme = 0;
+	for (let run = 0; run < runs; run++) {
+		for (let i = 0; i < a.length; i++) {
+			const j = i + Math.floor(r.next() * (pool.length - i));
+			const held = pool[i];
+			pool[i] = pool[j];
+			pool[j] = held;
+		}
+		if (isExtreme(pool.slice(0, a.length), pool.slice(a.length))) extreme++;
+	}
+	return {
+		observed,
+		p: (1 + extreme) / (1 + runs),
+		runs,
+		exact: false
+	};
+}
 // src/rank.ts
 /**
 * Rank correlation: do two measures put the same items in the same order? Use it to test that a cheap proxy (a
@@ -2691,6 +2770,6 @@ function calibration(forecasts) {
 		interval: wilson(hits, n)
 	}));
 }
-export { KENDALL_EXACT, RESPONSE_LAMBDAS, RESPONSE_MAX_POWER, RESPONSE_MAX_TERMS, RESPONSE_RECORDS_SCHEMA, Z95, bestSmoothLaw, binomialInterval, bootstrap, bootstrapClusters, bootstrapLeastSquares, bootstrapMedian, bootstrapMedianRatio, bootstrapTwo, brier, calibration, compareRatios, fitResponse, heldOutError, heldOutErrorAt, holm, kendallTau, leastSquares, mean, median, medianInterval, modeCount, negativeBinomialInterval, noiseFloor, noiseVerdict, pairedPermutation, parseResponseRecord, predictResponse, quantile, quantileInterval, quantileSamples, quantileSorted, ranks, responseCells, ridgeSolve, sd, signTest, signTestPower, sliceResponse, smoothLawScores, sorted, spearman, summarize, surfaceResponse, whenHolds, wilson };
+export { KENDALL_EXACT, RESPONSE_LAMBDAS, RESPONSE_MAX_POWER, RESPONSE_MAX_TERMS, RESPONSE_RECORDS_SCHEMA, Z95, bestSmoothLaw, binomialInterval, bootstrap, bootstrapClusters, bootstrapLeastSquares, bootstrapMedian, bootstrapMedianRatio, bootstrapTwo, brier, calibration, compareRatios, fitResponse, heldOutError, heldOutErrorAt, holm, kendallTau, leastSquares, mean, median, medianInterval, modeCount, negativeBinomialInterval, noiseFloor, noiseVerdict, pairedPermutation, parseResponseRecord, partialConjunction, predictResponse, quantile, quantileInterval, quantileSamples, quantileSorted, ranks, responseCells, ridgeSolve, sd, signTest, signTestPower, sliceResponse, smoothLawScores, sorted, spearman, summarize, surfaceResponse, twoSamplePermutation, whenHolds, wilson };
 
 //# sourceMappingURL=index.js.map