@mark1russell7/rigor-statistics 0.1.12 → 0.1.14

package/README.md

@@ -115,6 +115,7 @@ 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. |
@@ -124,6 +125,7 @@ The default expansion has one product for each pair of levels of two dimensions.
 | `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. |
+| `optionFloor({ sigma, delta, tests, alpha, power })`, `tQuantile(p, df)` | The fewest values for each of two options, so that one test of a Bonferroni family finds a difference of `delta` with the stated power, from the Student t law. It assumes unpaired groups of equal size and equal `sigma`. The quantile of the Student t law. |
 | `modeCount(values, { minShare, valleyRatio })` | The count of the modes of a sample, from a kernel density estimate. |
 | `smoothLawScores(values)`, `bestSmoothLaw(values)` | The mean log density of the uniform, normal, exponential, log-normal and Pareto laws at their fits, and the best of them. |
 | `brier`, `calibration` | The Brier score of predictions, and the hit rate of each stated level. |

package/build/index.d.ts

@@ -786,6 +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[];
 /**
@@ -976,5 +998,37 @@ 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 };
+/**
+ * This function gives the quantile of the Student t law, from a bisection of its distribution function.
+ *
+ * @param p - The share of the law below the result, above 0 and below 1.
+ * @param df - The degrees of freedom, above 0.
+ */
+export declare function tQuantile(p: number, df: number): number;
+/** The options of `optionFloor`. */
+interface OptionFloorOptions {
+  /** The standard deviation of one value about the mean of its option. All options have the same value. */
+  readonly sigma: number;
+  /** The smallest difference between the means of two options that the comparison finds. */
+  readonly delta: number;
+  /** The count of tests in the family. The level of each test is `alpha / tests`. */
+  readonly tests: number;
+  /** The two-sided level of the family. The default is 0.05. */
+  readonly alpha?: number;
+  /** The share of comparisons that find a difference of `delta`. The default is 0.8. */
+  readonly power?: number;
+}
+/**
+ * This function gives the smallest count of values for each of two options. With it, one test finds a difference of
+ * `delta` with the stated power. The form is `n = 2 ((t(1 - alpha / (2 tests), df) + t(power, df)) sigma / delta)^2`,
+ * with `df = 2 n - 2`. The count is on both sides of that form, so the function takes the first count that meets it.
+ *
+ * The function assumes independent values, unpaired groups of equal size, equal `sigma`, and a Bonferroni family.
+ * A value of `sigma` from an older run gives a count for that run. Read `sigma` again on the new values.
+ *
+ * @param options - The spread, the difference, the family and the targets.
+ * @returns A whole number of 2 or more.
+ */
+export declare function optionFloor(options: OptionFloorOptions): number;
+export type { BootstrapOptions, CalibrationLevel, CategoricalDimension, CompareOptions, Comparison, ContinuousDimension, Corrected, CountInterval, Effect, Forecast, Interval, LeastSquaresFit, LeastSquaresOptions, MedianInterval, ModeOptions, NoiseOptions, NoiseState, NoiseVerdict, OptionFloorOptions, 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

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package/build/index.js

@@ -2317,6 +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
@@ -2704,6 +2770,107 @@ 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, partialConjunction, predictResponse, quantile, quantileInterval, quantileSamples, quantileSorted, ranks, responseCells, ridgeSolve, sd, signTest, signTestPower, sliceResponse, smoothLawScores, sorted, spearman, summarize, surfaceResponse, whenHolds, wilson };
+// src/power.ts
+/**
+* The count of values that a comparison of options needs before it starts. The Student t law gives this count, because the
+* normal formula is too low at a small count. These functions make no draws, so a caller reads the count with no bench.
+*/
+/** The log of the gamma function, by the form of Lanczos with 6 terms. The argument is above 0. */
+function logGamma(x) {
+	const terms = [
+		76.18009172947146,
+		-86.50532032941678,
+		24.01409824083091,
+		-1.231739572450155,
+		.001208650973866179,
+		-5395239384953e-18
+	];
+	const base = x + 5.5 - (x + .5) * Math.log(x + 5.5);
+	let series = 1.000000000190015;
+	terms.forEach((term, i) => {
+		series += term / (x + i + 1);
+	});
+	return -base + Math.log(2.5066282746310007 * series / x);
+}
+/** The continued fraction of the incomplete beta function, by the method of Lentz. */
+function betaFraction(x, a, b) {
+	const tiny = 1e-300;
+	const guard = (value) => Math.abs(value) < tiny ? tiny : value;
+	let c = 1;
+	let d = 1 / guard(1 - (a + b) * x / (a + 1));
+	let h = d;
+	for (let m = 1; m <= 500; m++) {
+		const twice = 2 * m;
+		const even = m * (b - m) * x / ((a + twice - 1) * (a + twice));
+		d = 1 / guard(1 + even * d);
+		c = guard(1 + even / c);
+		h *= d * c;
+		const odd = -(a + m) * (a + b + m) * x / ((a + twice) * (a + twice + 1));
+		d = 1 / guard(1 + odd * d);
+		c = guard(1 + odd / c);
+		const step = d * c;
+		h *= step;
+		if (Math.abs(step - 1) < 1e-15) return h;
+	}
+	return h;
+}
+/** The regularized incomplete beta function at `x`, from 0 to 1. */
+function incompleteBeta(x, a, b) {
+	if (x <= 0) return 0;
+	if (x >= 1) return 1;
+	const front = Math.exp(logGamma(a + b) - logGamma(a) - logGamma(b) + a * Math.log(x) + b * Math.log(1 - x));
+	return x < (a + 1) / (a + b + 2) ? front * betaFraction(x, a, b) / a : 1 - front * betaFraction(1 - x, b, a) / b;
+}
+/** The share of the Student t law with `df` degrees of freedom below `t`, for `t` of 0 or more. */
+function upperHalf(t, df) {
+	return 1 - .5 * incompleteBeta(df / (df + t * t), df / 2, .5);
+}
+/**
+* This function gives the quantile of the Student t law, from a bisection of its distribution function.
+*
+* @param p - The share of the law below the result, above 0 and below 1.
+* @param df - The degrees of freedom, above 0.
+*/
+function tQuantile(p, df) {
+	if (!(p > 0 && p < 1)) throw new RangeError(`tQuantile: p is above 0 and below 1, not ${p}.`);
+	if (!(df > 0 && Number.isFinite(df))) throw new RangeError(`tQuantile: df is a finite number above 0, not ${df}.`);
+	if (p < .5) return -tQuantile(1 - p, df);
+	let high = 1;
+	while (upperHalf(high, df) < p) high *= 2;
+	let low = 0;
+	for (let step = 0; step < 200 && high - low > 1e-12 * high; step++) {
+		const middle = (low + high) / 2;
+		if (upperHalf(middle, df) < p) low = middle;
+		else high = middle;
+	}
+	return (low + high) / 2;
+}
+/**
+* This function gives the smallest count of values for each of two options. With it, one test finds a difference of
+* `delta` with the stated power. The form is `n = 2 ((t(1 - alpha / (2 tests), df) + t(power, df)) sigma / delta)^2`,
+* with `df = 2 n - 2`. The count is on both sides of that form, so the function takes the first count that meets it.
+*
+* The function assumes independent values, unpaired groups of equal size, equal `sigma`, and a Bonferroni family.
+* A value of `sigma` from an older run gives a count for that run. Read `sigma` again on the new values.
+*
+* @param options - The spread, the difference, the family and the targets.
+* @returns A whole number of 2 or more.
+*/
+function optionFloor(options) {
+	const { sigma, delta, tests, alpha = .05, power = .8 } = options;
+	if (!(sigma > 0 && Number.isFinite(sigma))) throw new RangeError(`optionFloor: sigma is a finite number above 0, not ${sigma}.`);
+	if (!(delta > 0 && Number.isFinite(delta))) throw new RangeError(`optionFloor: delta is a finite number above 0, not ${delta}.`);
+	if (!Number.isSafeInteger(tests) || tests < 1) throw new RangeError(`optionFloor: tests is a whole number of 1 or more, not ${tests}.`);
+	if (!(alpha > 0 && alpha < 1)) throw new RangeError(`optionFloor: alpha is above 0 and below 1, not ${alpha}.`);
+	if (!(power > .5 && power < 1)) throw new RangeError(`optionFloor: power is above 0.5 and below 1, not ${power}.`);
+	const level = 1 - alpha / (2 * tests);
+	for (let n = 2; n < 1e7; n++) {
+		const df = 2 * n - 2;
+		const need = 2 * ((tQuantile(level, df) + tQuantile(power, df)) * sigma / delta) ** 2;
+		if (n >= need) return n;
+	}
+	throw new RangeError(`optionFloor: no count under 10,000,000 for sigma ${sigma} and delta ${delta}.`);
+}
+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, optionFloor, pairedPermutation, parseResponseRecord, partialConjunction, predictResponse, quantile, quantileInterval, quantileSamples, quantileSorted, ranks, responseCells, ridgeSolve, sd, signTest, signTestPower, sliceResponse, smoothLawScores, sorted, spearman, summarize, surfaceResponse, tQuantile, twoSamplePermutation, whenHolds, wilson };
 
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