@mark1russell7/rigor-statistics 0.1.25 → 0.1.27

package/README.md

@@ -191,7 +191,7 @@ logLoss([{ p: p.a, hit: true }]);                // the probability of the obser
 | `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. |
-| `normalCdf(x)`, `normalQuantile(p)` | The distribution function of the standard normal law and its quantile (AS 241 of Wichura). Both keep their relative digits in the lower tail, to `p = 1e-300`. |
+| `normalCdf(x)`, `normalQuantile(p)` | The distribution function of the standard normal law and its quantile (AS 241 of Wichura). They come from `rigor-generators`. Both keep their relative digits in the lower tail, to `p = 1e-300`. |
 | `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. |
@@ -291,8 +291,6 @@ The tests prove that these functions give the same numbers as the copies in the
 | `bootstrapMedian` of packing | `bootstrapMedian(sortedValues, { runs, level, seed })`. Give the values sorted, because packing draws from the sorted list. |
 | `bootstrapMedian` of highways | `bootstrap(values, (s) => quantile(s, 0.5), { runs, level, seed })` |
 | `bootstrap` of layout-contract | `bootstrapClusters(rows, (r) => r.cluster, statistic, { runs, seed, ends: [0.025, 0.975] })` |
-| The stratified bootstrap of `verdict` of layout-contract | `bootstrapStrata(families, meanOfMeans, { runs, seed: deriveSeed(seed, "verdict.stratified"), ends })` |
-| The permutation test of `verdict` of layout-contract | `signFlipTest(terms, { exactMax, runs, seed: deriveSeed(seed, "verdict.permutation") })` |
 | `normalQuantile` of lag (Acklam, relative error below 1.2e-9) | `normalQuantile(p)`. The values change by 1.2e-9 or less, because the new function is more exact. A `p` out of 0 to 1 throws. |
 | `signTestP` of packing | `signTest(better, worse)` |
 | `signTestPower` of highways | `signTestPower(n, level)` |

package/build/index.d.ts

@@ -1,4 +1,4 @@
-import "@mark1russell7/rigor-generators";
+import { normalCdf, normalQuantile } from "@mark1russell7/rigor-generators";
 /**
  * The descriptive statistics: the mean, the standard deviation, the median, the quantiles and a summary of a list.
  * Each function throws a RangeError for an empty list or for a value that is NaN. Thus a missing value cannot make a
@@ -1278,20 +1278,6 @@ interface OptionFloorOptions {
  * @returns A whole number of 2 or more.
  */
 export declare function optionFloor(options: OptionFloorOptions): number;
-/**
- * This function gives the distribution function of the standard normal law, `P(Z <= x)`. Its relative error is below
- * 1e-14, also in the lower tail: `normalCdf(-37)` is approximately 5.7e-300, not 0.
- *
- * @param x - A number. `-Infinity` gives 0 and `Infinity` gives 1.
- */
-export declare function normalCdf(x: number): number;
-/**
- * This function gives the quantile of the standard normal law, the `x` with `normalCdf(x) = p`. It uses PPND16 of
- * Wichura (algorithm AS 241). Its relative error is near 1e-16 for each `p` from 1e-300 to 1 - 1e-16.
- *
- * @param p - The share of the law below the result, from 0 to 1. A `p` of 0 gives `-Infinity` and 1 gives `Infinity`.
- */
-export declare function normalQuantile(p: number): number;
 /** One cell of a coverage study: the hits of a method on the true value in `draws` seeded samples of size `sample`. */
 interface CoverageCell {
   /** The name of the cell, for example `"skewed 120/108"`. The result names the rejected cells with it. */
@@ -1652,5 +1638,5 @@ interface BradleyTerryFit {
  * outcome, a bad weight and a bad option.
  */
 export declare function bradleyTerry(items: number, comparisons: readonly PairComparison[], options?: BradleyTerryOptions): BradleyTerryFit;
-export type { BinomialSide, BootstrapOptions, BradleyTerryFit, BradleyTerryOptions, CalibrationLevel, CategoricalDimension, CompareOptions, Comparison, ContinuousDimension, Corrected, CountInterval, CoverageBar, CoverageCell, CoverageMinSample, CoverageReason, CoverageStep, Effect, EloOptions, EloUpdate, Forecast, Glicko2Game, Glicko2Options, Glicko2Rating, Interval, Kappa, LeastSquaresFit, LeastSquaresOptions, MedianInterval, ModeOptions, NoiseOptions, NoiseState, NoiseVerdict, OptionFloorOptions, OrdinalDimension, PairComparison, PairOutcome, PairProbabilities, ParsedResponseRecord, PermutationOptions, PermutationResult, Proportion, QuantileInterval, QuantileMethod, RatingScale, 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, RunningSummary, SampleTotalOptions, SideP, SignFlipOptions, SignFlipResult, SmoothLaw, SmoothLawScore, SobolIndex, SobolIndices, SobolOptions, Summary, TableResponseModel, TieModel, TwoSamplePermutationOptions, TwoSamplePermutationResult, UStatisticInterval, UStatisticMean, UStatisticMethod, UStatisticOptions };
+export { type BinomialSide, type BootstrapOptions, type BradleyTerryFit, type BradleyTerryOptions, type CalibrationLevel, type CategoricalDimension, type CompareOptions, type Comparison, type ContinuousDimension, type Corrected, type CountInterval, type CoverageBar, type CoverageCell, type CoverageMinSample, type CoverageReason, type CoverageStep, type Effect, type EloOptions, type EloUpdate, type Forecast, type Glicko2Game, type Glicko2Options, type Glicko2Rating, type Interval, type Kappa, type LeastSquaresFit, type LeastSquaresOptions, type MedianInterval, type ModeOptions, type NoiseOptions, type NoiseState, type NoiseVerdict, type OptionFloorOptions, type OrdinalDimension, type PairComparison, type PairOutcome, type PairProbabilities, type ParsedResponseRecord, type PermutationOptions, type PermutationResult, type Proportion, type QuantileInterval, type QuantileMethod, type RatingScale, type ResponseAbsentPoint, type ResponseBand, type ResponseCurvePoint, type ResponseData, type ResponseDimension, type ResponseDimensionBase, type ResponseFactor, type ResponseFault, type ResponseFitOptions, type ResponseFold, type ResponseFoldError, type ResponseHeldOutError, type ResponseInputValue, type ResponseMeasure, type ResponseModel, type ResponseModelBase, type ResponsePoint, type ResponseReason, type ResponseRecord, type ResponseSlice, type ResponseSliceOptions, type ResponseSlicePoint, type ResponseSurface, type ResponseSurfaceAbsentPoint, type ResponseSurfaceOptions, type ResponseSurfacePoint, type ResponseTableCell, type ResponseValue, type ResponseViewOptions, type ResponseWhen, type RidgeInput, type RidgeInputBase, type RidgeLevelInput, type RidgeNumberInput, type RidgeOptions, type RidgeRankInput, type RidgeResponseModel, type RidgeTerm, type RunningSummary, type SampleTotalOptions, type SideP, type SignFlipOptions, type SignFlipResult, type SmoothLaw, type SmoothLawScore, type SobolIndex, type SobolIndices, type SobolOptions, type Summary, type TableResponseModel, type TieModel, type TwoSamplePermutationOptions, type TwoSamplePermutationResult, type UStatisticInterval, type UStatisticMean, type UStatisticMethod, type UStatisticOptions, normalCdf, normalQuantile };
 //# sourceMappingURL=index.d.ts.map

package/build/index.d.ts.map

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package/build/index.js

@@ -1,4 +1,4 @@
-import { random } from "@mark1russell7/rigor-generators";
+import { normalCdf, normalQuantile, random } from "@mark1russell7/rigor-generators";
 // src/describe.ts
 function checked(name, values) {
 	if (values.length === 0) throw new RangeError(`${name}: the list is empty.`);
@@ -2502,24 +2502,61 @@ function sobolIndices(record, measure, options = {}) {
 function whole$2(name, value) {
 	if (!Number.isSafeInteger(value) || value < 0) throw new RangeError(`${name}: ${value} is not a whole number of 0 or more.`);
 }
-/** The log of each binomial term C(n, k) / 2^n, for each k from 0 to n. */
-function halfBinomialLogs(n) {
-	const logs = [];
-	let logChoose = 0;
-	for (let i = 0; i <= n; i++) {
-		if (i > 0) logChoose += Math.log((n - i + 1) / i);
-		logs.push(logChoose - n * Math.LN2);
+const TWO_512 = 2 ** 512;
+/** C(n, k) / 2^n, as one product of min(k, n - k) ratios, with the powers of 2 kept apart so that no step overflows. */
+function halfBinomial(k, n) {
+	const m = Math.min(k, n - k);
+	let value = 1;
+	let exponent = -n;
+	for (let i = 1; i <= m; i++) {
+		value *= (n - m + i) / i;
+		if (value > TWO_512) {
+			value /= TWO_512;
+			exponent += 512;
+		}
 	}
-	return logs;
+	for (; exponent < -512; exponent += 512) value /= TWO_512;
+	return value * 2 ** exponent;
+}
+/** The largest n for which the tail is an exact sum of whole numbers. Above it, the sum is in floating point. */
+const SIGN_TEST_EXACT_LIMIT = 4096;
+/** num / 2^n as the nearest double: one rounding, also when num has more than 1024 bits. */
+function overPowerOfTwo(num, n) {
+	const shift = Math.max(0, num.toString(2).length - 1e3);
+	let value = Number(num >> BigInt(shift));
+	let exponent = shift - n;
+	for (; exponent < -512; exponent += 512) value /= TWO_512;
+	return value * 2 ** exponent;
 }
-/** P(X >= k) for X ~ Binomial(n, 1/2), summed from the largest term so that a small tail keeps its digits. */
+/**
+* P(X >= k) for X ~ Binomial(n, 1/2). For n up to SIGN_TEST_EXACT_LIMIT it adds C(n, i) as whole numbers (BigInt),
+* so the only error is the last rounding to a double. Above the limit and above the middle, it adds the terms as
+* ratios of term k in linear space. At or below the middle, it gives 1 - P(X >= n - k + 1), by symmetry. (An earlier form added
+* logs and called Math.exp, and its error grew with n: up to 2.5e-14 for n <= 80, rigor#158. The floating-point
+* form above the limit was at most 1.1e-14 relative at n = 4097 and 5000, above 2^-1000.)
+*/
 function upperTail(k, n) {
 	if (k <= 0) return 1;
 	if (k > n) return 0;
-	const logs = halfBinomialLogs(n).slice(k);
-	const top = Math.max(...logs);
-	const sum = logs.reduce((s, l) => s + Math.exp(l - top), 0);
-	return Math.min(1, Math.exp(top) * sum);
+	if (n <= SIGN_TEST_EXACT_LIMIT) {
+		const big = BigInt(n);
+		let term = 1n;
+		for (let i = 1n; i <= BigInt(k); i++) term = term * (big - i + 1n) / i;
+		let sum = 0n;
+		for (let i = BigInt(k); i <= big; i++) {
+			sum += term;
+			term = term * (big - i) / (i + 1n);
+		}
+		return Math.min(1, overPowerOfTwo(sum, n));
+	}
+	if (2 * k <= n) return 1 - upperTail(n - k + 1, n);
+	let ratio = 1;
+	let sum = 1;
+	for (let i = k; i < n && ratio > 0; i++) {
+		ratio *= (n - i) / (i + 1);
+		sum += ratio;
+	}
+	return Math.min(1, halfBinomial(k, n) * sum);
 }
 /**
 * The sign test of paired results: `better` inputs where the candidate wins and `worse` where it loses. The ties
@@ -2540,7 +2577,15 @@ function signTest(better, worse, sides = 1) {
 */
 function signTestPower(n, level = .05, sides = 2) {
 	whole$2("signTestPower", n);
-	for (let k = Math.ceil(n / 2); k <= n; k++) if (signTest(k, n - k, sides) < level) return k;
+	if (n === 0 || signTest(n, 0, sides) >= level) return void 0;
+	let low = Math.ceil(n / 2);
+	let high = n;
+	while (low < high) {
+		const middle = Math.floor((low + high) / 2);
+		if (signTest(middle, n - middle, sides) < level) high = middle;
+		else low = middle + 1;
+	}
+	return low;
 }
 /** The z of a two-sided 95% interval. */
 const Z95 = 1.959963984540054;
@@ -3321,162 +3366,6 @@ function optionFloor(options) {
 	}
 	throw new RangeError(`optionFloor: no count under 10,000,000 for sigma ${sigma} and delta ${delta}.`);
 }
-// src/normal.ts
-/**
-* The standard normal law: its distribution function `normalCdf` and its quantile `normalQuantile`. The two functions
-* keep their relative digits in the far tails, so a small tail probability does not become 0.
-*/
-const SQRT_PI = Math.sqrt(Math.PI);
-/** The series of `erf(z)` with positive terms, `2/√π · e^(-z²) · Σ (2z²)^n · z / (1·3·…·(2n+1))`, for a small `z` of 0 or more. */
-function erfSeries(z) {
-	const twoZ2 = 2 * z * z;
-	let term = z;
-	let sum = z;
-	for (let n = 1; n < 500 && term > sum * 1e-17; n++) {
-		term *= twoZ2 / (2 * n + 1);
-		sum += term;
-	}
-	return 2 / SQRT_PI * expMinusSquare(z) * sum;
-}
-/**
-* The continued fraction of `erfc(z)`, `e^(-z²)/√π · 1/(z + (1/2)/(z + 1/(z + (3/2)/(z + …))))`, by the method of
-* Lentz, for a `z` of 1.5 or more.
-*/
-function erfcFraction(z) {
-	const tiny = 1e-300;
-	let f = z;
-	let c = z;
-	let d = 0;
-	for (let n = 1; n < 5e3; n++) {
-		const a = n / 2;
-		d = z + a * d;
-		d = 1 / (Math.abs(d) < tiny ? tiny : d);
-		c = z + a / c;
-		if (Math.abs(c) < tiny) c = tiny;
-		const delta = c * d;
-		f *= delta;
-		if (Math.abs(delta - 1) < 1e-16) break;
-	}
-	return expMinusSquare(z) / (SQRT_PI * f);
-}
-/**
-* The value of `e^(-z²)` with its relative digits for a large `z`. The rounding of `z²` costs `z²` ulps, so the
-* function splits `z` into `hi + lo`. `hi` has 4 bits after the point, so `hi²` is exact.
-*/
-function expMinusSquare(z) {
-	const hi = Math.round(z * 16) / 16;
-	const lo = z - hi;
-	return Math.exp(-hi * hi) * Math.exp(-lo * (z + hi));
-}
-/** The complementary error function `erfc(z) = 1 - erf(z)`, with its relative digits for a large `z`. */
-function erfc(z) {
-	if (z < 0) return 2 - erfc(-z);
-	return z < 1.5 ? 1 - erfSeries(z) : erfcFraction(z);
-}
-/**
-* This function gives the distribution function of the standard normal law, `P(Z <= x)`. Its relative error is below
-* 1e-14, also in the lower tail: `normalCdf(-37)` is approximately 5.7e-300, not 0.
-*
-* @param x - A number. `-Infinity` gives 0 and `Infinity` gives 1.
-*/
-function normalCdf(x) {
-	if (Number.isNaN(x)) throw new RangeError("normalCdf: x is NaN.");
-	if (x === Number.NEGATIVE_INFINITY) return 0;
-	if (x === Number.POSITIVE_INFINITY) return 1;
-	return erfc(-x / Math.SQRT2) / 2;
-}
-const A = [
-	3.3871328727963665,
-	133.14166789178438,
-	1971.5909503065513,
-	13731.69376550946,
-	45921.95393154987,
-	67265.7709270087,
-	33430.57558358813,
-	2509.0809287301227
-];
-const B = [
-	1,
-	42.31333070160091,
-	687.1870074920579,
-	5394.196021424751,
-	21213.794301586597,
-	39307.89580009271,
-	28729.085735721943,
-	5226.495278852854
-];
-const C = [
-	1.4234371107496835,
-	4.630337846156546,
-	5.769497221460691,
-	3.6478483247632045,
-	1.2704582524523684,
-	.2417807251774506,
-	.022723844989269184,
-	.0007745450142783414
-];
-const D = [
-	1,
-	2.053191626637759,
-	1.6763848301838038,
-	.6897673349851,
-	.14810397642748008,
-	.015198666563616457,
-	.0005475938084995345,
-	1.0507500716444169e-9
-];
-const E = [
-	6.657904643501103,
-	5.463784911164114,
-	1.7848265399172913,
-	.29656057182850487,
-	.026532189526576124,
-	.0012426609473880784,
-	27115555687434876e-21,
-	2.0103343992922881e-7
-];
-const F = [
-	1,
-	.599832206555888,
-	.1369298809227358,
-	.014875361290850615,
-	.0007868691311456133,
-	18463183175100548e-21,
-	1.421511758316446e-7,
-	20442631033899397e-31
-];
-/** The value of a polynomial with the coefficients `c[0] + c[1] x + …`, by the rule of Horner. */
-function poly(c, x) {
-	let value = 0;
-	for (let i = c.length - 1; i >= 0; i--) value = value * x + c[i];
-	return value;
-}
-/**
-* This function gives the quantile of the standard normal law, the `x` with `normalCdf(x) = p`. It uses PPND16 of
-* Wichura (algorithm AS 241). Its relative error is near 1e-16 for each `p` from 1e-300 to 1 - 1e-16.
-*
-* @param p - The share of the law below the result, from 0 to 1. A `p` of 0 gives `-Infinity` and 1 gives `Infinity`.
-*/
-function normalQuantile(p) {
-	if (!(p >= 0 && p <= 1)) throw new RangeError(`normalQuantile: p is from 0 to 1, not ${p}.`);
-	if (p === 0) return Number.NEGATIVE_INFINITY;
-	if (p === 1) return Number.POSITIVE_INFINITY;
-	const q = p - .5;
-	if (Math.abs(q) <= .425) {
-		const r = .180625 - q * q;
-		return q * poly(A, r) / poly(B, r);
-	}
-	let r = Math.sqrt(-Math.log(q < 0 ? p : 1 - p));
-	let value;
-	if (r <= 5) {
-		r -= 1.6;
-		value = poly(C, r) / poly(D, r);
-	} else {
-		r -= 5;
-		value = poly(E, r) / poly(F, r);
-	}
-	return q < 0 ? -value : value;
-}
 // src/coverage.ts
 /**
 * The rule that finds the smallest sample at which an interval method keeps its level. The input is the hits of the