@mark1russell7/rigor-statistics 0.1.9 → 0.1.10

package/README.md

@@ -117,6 +117,8 @@ The default expansion has one product for each pair of levels of two dimensions.
 | `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. |
 | `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. |
 | `spearman`, `kendallTau`, `ranks` | The rank correlations, with mean ranks for ties. |

package/build/index.d.ts

@@ -763,6 +763,33 @@ interface MedianInterval {
  * is less than `level`.
  */
 export declare function medianInterval(values: readonly number[], level?: number): MedianInterval;
+/** The distribution-free interval of a quantile, from two order statistics of the sample. */
+interface QuantileInterval {
+  /** The value x_(lowRank), or `-Infinity` when the sample has no rank for a lower bound. */
+  readonly low: number;
+  /** The value x_(highRank), or `Infinity` when the sample has no rank for an upper bound. */
+  readonly high: number;
+  /** The rank of `low`, from 1, or 0 when `low` is `-Infinity`. */
+  readonly lowRank: number;
+  /** The rank of `high`, from 1, or n + 1 when `high` is `Infinity`. */
+  readonly highRank: number;
+  /** The chance that the interval holds the quantile of the population. */
+  readonly coverage: number;
+}
+/**
+ * This function gives the distribution-free interval of the quantile `p` of a sample. Each tail outside the interval holds
+ * (1 - level) / 2 or less. Let X ~ Binomial(n, p). The lower rank is the largest l with P(X <= l - 1) in the tail. The upper
+ * rank is the smallest u with P(X >= u) in the tail. The values must be independent draws, or the coverage is false.
+ *
+ * A side with no such rank is infinite. Thus a small sample gives no upper bound: refer to `quantileSamples`.
+ */
+export declare function quantileInterval(values: readonly number[], p: number, level?: number): QuantileInterval;
+/**
+ * This function gives the fewest independent values that give the quantile `p` an upper bound at `level`: the smallest n with
+ * p^n <= (1 - level) / 2. With that n, the upper bound is the largest value. At the level 0.95, p95 needs 72 values, p99 needs
+ * 368 values and p99.9 needs 3,688 values.
+ */
+export declare function quantileSamples(p: number, level?: number): number;
 /** A central interval of a count, from `low` to `high`, both included. */
 interface CountInterval {
   readonly low: number;
@@ -893,5 +920,5 @@ 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, NoiseOptions, NoiseState, NoiseVerdict, OrdinalDimension, ParsedResponseRecord, PermutationOptions, PermutationResult, Proportion, 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, Summary, TableResponseModel };
+export type { BootstrapOptions, CalibrationLevel, CategoricalDimension, CompareOptions, Comparison, ContinuousDimension, Corrected, CountInterval, Effect, Forecast, Interval, LeastSquaresFit, LeastSquaresOptions, MedianInterval, 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, Summary, TableResponseModel };
 //# sourceMappingURL=index.d.ts.map

package/build/index.d.ts.map

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

@@ -2129,8 +2129,8 @@ function kendallTau(a, b, seed = 1) {
 }
 // src/discrete.ts
 /**
-* The intervals that come from a discrete distribution. The interval of a median comes from the order statistics.
-* The central interval of a count comes from a binomial or a negative binomial distribution.
+* The intervals that come from a discrete distribution. The interval of a median or of a quantile comes from the order
+* statistics. The central interval of a count comes from a binomial or a negative binomial distribution.
 */
 function whole(name, value) {
 	if (!Number.isSafeInteger(value) || value < 0) throw new RangeError(`${name}: ${value} is not a whole number of 0 or more.`);
@@ -2184,6 +2184,58 @@ function medianInterval(values, level = .95) {
 	};
 }
 /**
+* This function gives the distribution-free interval of the quantile `p` of a sample. Each tail outside the interval holds
+* (1 - level) / 2 or less. Let X ~ Binomial(n, p). The lower rank is the largest l with P(X <= l - 1) in the tail. The upper
+* rank is the smallest u with P(X >= u) in the tail. The values must be independent draws, or the coverage is false.
+*
+* A side with no such rank is infinite. Thus a small sample gives no upper bound: refer to `quantileSamples`.
+*/
+function quantileInterval(values, p, level = .95) {
+	if (values.length === 0) throw new RangeError("quantileInterval: the list is empty.");
+	for (const v of values) if (Number.isNaN(v)) throw new RangeError("quantileInterval: the list has a NaN.");
+	if (!(p > 0 && p < 1)) throw new RangeError(`quantileInterval: p is more than 0 and less than 1, not ${p}.`);
+	const tail = levelOf("quantileInterval", level);
+	const s = sorted(values);
+	const n = s.length;
+	const terms = binomialTerms(n, p);
+	let lowRank = 0;
+	let left = 0;
+	let below = terms[0];
+	while (lowRank < n && below <= tail) {
+		lowRank += 1;
+		left = below;
+		below += terms[lowRank];
+	}
+	let highRank = n + 1;
+	let right = 0;
+	let above = terms[n];
+	while (highRank > 1 && above <= tail) {
+		highRank -= 1;
+		right = above;
+		above += terms[highRank - 1];
+	}
+	return {
+		low: lowRank === 0 ? -Infinity : s[lowRank - 1],
+		high: highRank === n + 1 ? Infinity : s[highRank - 1],
+		lowRank,
+		highRank,
+		coverage: Math.max(0, 1 - left - right)
+	};
+}
+/**
+* This function gives the fewest independent values that give the quantile `p` an upper bound at `level`: the smallest n with
+* p^n <= (1 - level) / 2. With that n, the upper bound is the largest value. At the level 0.95, p95 needs 72 values, p99 needs
+* 368 values and p99.9 needs 3,688 values.
+*/
+function quantileSamples(p, level = .95) {
+	if (!(p > 0 && p < 1)) throw new RangeError(`quantileSamples: p is more than 0 and less than 1, not ${p}.`);
+	const tail = levelOf("quantileSamples", level);
+	const [logTail, logP] = [Math.log(tail), Math.log(p)];
+	let n = Math.max(1, Math.ceil(logTail / logP));
+	while (n > 1 && (n - 1) * logP <= logTail) n -= 1;
+	return n;
+}
+/**
 * The central interval of a count X ~ Binomial(n, p). `low` is the smallest k with P(X <= k) > (1 - level) / 2.
 * `high` is the largest k with P(X >= k) > (1 - level) / 2. Each tail outside the interval holds (1 - level) / 2
 * or less. The two tails are separate sums, so that a small upper tail keeps its digits.
@@ -2382,6 +2434,6 @@ function calibration(forecasts) {
 		interval: wilson(hits, n)
 	}));
 }
-export { KENDALL_EXACT, RESPONSE_LAMBDAS, RESPONSE_MAX_POWER, RESPONSE_MAX_TERMS, RESPONSE_RECORDS_SCHEMA, Z95, binomialInterval, bootstrap, bootstrapClusters, bootstrapLeastSquares, bootstrapMedian, bootstrapMedianRatio, bootstrapTwo, brier, calibration, compareRatios, fitResponse, heldOutError, heldOutErrorAt, holm, kendallTau, leastSquares, mean, median, medianInterval, negativeBinomialInterval, noiseFloor, noiseVerdict, pairedPermutation, parseResponseRecord, predictResponse, quantile, quantileSorted, ranks, responseCells, ridgeSolve, sd, signTest, signTestPower, sliceResponse, sorted, spearman, summarize, surfaceResponse, whenHolds, wilson };
+export { KENDALL_EXACT, RESPONSE_LAMBDAS, RESPONSE_MAX_POWER, RESPONSE_MAX_TERMS, RESPONSE_RECORDS_SCHEMA, Z95, binomialInterval, bootstrap, bootstrapClusters, bootstrapLeastSquares, bootstrapMedian, bootstrapMedianRatio, bootstrapTwo, brier, calibration, compareRatios, fitResponse, heldOutError, heldOutErrorAt, holm, kendallTau, leastSquares, mean, median, medianInterval, negativeBinomialInterval, noiseFloor, noiseVerdict, pairedPermutation, parseResponseRecord, predictResponse, quantile, quantileInterval, quantileSamples, quantileSorted, ranks, responseCells, ridgeSolve, sd, signTest, signTestPower, sliceResponse, sorted, spearman, summarize, surfaceResponse, whenHolds, wilson };
 
 //# sourceMappingURL=index.js.map