Introduction:
Results of PS1.1, Q4.1:In PS1, Q4.1, you were asked to guess whether 2 samples that you examined were truly different, or if they were just 2 random samples of the same underlying distribution. The responses varied...most people thought about half of trials were truly different. Because this is an analysis class, we will present the results in histogram form: Philosophy of sampling / statistical inference:So, if we were to perform the same experiment twice, we always get different numbers due to the fact that we are sampling. The question of did my drug work is therefore equivalent to:
Experimental scientists who are trying to understand the world use the following model (either implictly or explicitly):
The true distribution (my term) is the quantity that we would ideally like to know in order to answer our scientific question. However, we cannot know it exactly because we are physically limited to taking measurements (samples) in order to learn about the world. Sometimes we cannot know this true distribution because it would be impractical to measure every example. The distribution of "survival times following a heart attack" is such an example; it is impractical (and statistically unnecessary) to follow every heart attack victim from the time of the attack until their death, which could be years later. Or, it may not be possible to measure the true distribution due to experimental noise. But often the true distribution is an abstract thought; we might want to know "the distribution of survival times following a heart attack without administering a drug of interest" and "the distribution of survival times following a heart attack with the administration of the drug of interest". These distributions are abstract thoughts, because we cannot both administer and not administer the drug to all individuals; instead, we want to know what these distributions would look like if we were to perform one action or the other.
Fortunately, we can learn most of what we want to know about the true distribution using sampling and inference. Most theories of statistics assume that samples are simple random samples; that is, each data point that comprises the true distribution has an equal chance of being part of the sample.
Our first example of statistical inference: Did my drug do anything?In the first few labs, we have looked at examples of pairs of samples from trials involving a "drug" and a "placebo". For any given experiment, are these 2 distributions different? Of course, the values in the 2 samples are different, but do we expect that the 2 true distributions are different?
Statisticians address this by studying a related question:
Let's do this and examine the answer. We will draw 2 samples from the same distribution using our function generate_random_data. We'll plot the data and look at the maximum difference in the cumulative histograms (in absolute value). (We are examining this particular quantity because some mathematicians found something interesting about it, as we'll see soon.)
First, let's make sure your path is set up properly by checking if Matlab knows where to find generate_random_data:
which generate_random_data
If you still have it on your path, you should see where it is located. Otherwise, make sure you have added it to your path using addpath as in Lab 1.4.
Now let's create 2 normallydistributed samples of 20 data points with mean 0 and standard deviation 1:
sample1 = generate_random_data(20,'normal',0,1);
sample2 = generate_random_data(20,'normal',0,1);
[X1,Y1] = cumhist(sample1,[10 10],0.1);
[X2,Y2] = cumhist(sample2,[10 10],0.1);
figure(90);
plot(X1,Y1,'bo');
hold on;
plot(X2,Y2,'ro');
xlabel('Value');
ylabel('Percent of samples');
We want to calculate the maximum difference between these 2 cumulative histograms. To do this, we will use the function we built last time, cumulative_hist_diff.
To remind yourself of what the function does, take a look at the help information:
help cumulative_hist_diff
Now let's plot the difference:
[maxdiff,maxdiff_loc,Xval,sample1CDF,sample2CDF] = cumulative_hist_diff(sample1,sample2);
figure(90);
Xvalues = [ Xval(maxdiff_loc) Xval(maxdiff_loc) ];
Yvalues = 100 * [ sample1CDF(maxdiff_loc) sample2CDF(maxdiff_loc) ];
plot(Xvalues,Yvalues,'k','linewidth',2);
maxdiff,
Suppose we were to repeat this process of drawing 2 samples from the same true distribution over and over again. What would the (sampled) distribution of maximum differences between sample1 and sample2 look like?
Repeating the same operation over and over again with while loopsThe need to repeat something over and over again arises often in computing. Loops allow us to repeat tasks until we are finished. One type of loop is the while loop, which is written as follows:
while (true or false expression is true)
statement1;
statement2;
...
end;
A true or false expression in Matlab is an expression that either returns 0 or 1; 0 corresponds to false, and 1 corresponds to true. For example, we can use the relational operations less than (<), equals (==), or greater than (<) to ask whether a new variable a is less than, equal to, or greater than 5:
a = 4;
a<5,
a==5,
a>5,
Note that the relational operator equals is written with 2 equals signs (==); this is to distinguish from the operation of assignment, which is denoted by 1 equals sign(=). a=5 means "assign to a the value 5", whereas a==5 means "test if the variable a is equal to 5". You can see more relational operators in Matlab by clicking here.
Let's create a simple while loop that increments a variable until it reaches a certain value.
i = 1;
while (i<10)
i,
i = i + 1;
end
This prints the value of i as the loop runs. The loop stops when i is equal to 10 (and the expression i<10 becomes false).
Let's use a while loop to make many samples of the difference between our 2 sampled distributions above:
md = [];
i = 1;
while (i<1001),
end;
At the end of this loop, we will have filled md with 1000 samples. Check it and see:
size(md),
Now let's examine the cumulative histogram of the samples md:
[Xmd,Ymd] = cumhist(md,[0 1],0.01);
figure(100);
plot(Xmd,Ymd,'k');
xlabel('Max diff b/w 2 samples of size 20');
ylabel('Percent of data');
Q1: What is the median difference? What is the difference value encountered that is equal to the 95%tile? The 99%tile? You may have to use the "zoom" button on the figure to zoom in to read off some of these values.
Examining the difference between 2 samples that really do arise from 2 distributionsNow let's generate 2 samples that are derived from 2 different distributions. We will generate 1 data set with mean 0 and a second with mean 2.
sample1 = generate_random_data(20,'normal',0,1);
sample2 = generate_random_data(20,'normal',2,1);
[X1,Y1] = cumhist(sample1, [10 10], 0.1);
[X2,Y2] = cumhist(sample2, [10 10], 0.1);
maxdiff = cumulative_hist_diff(sample1,sample2);
Now let's plot cumulative histograms of these 2 samples on our figure, and also plot the maximum difference between the cumulative histograms on our previous graph of differences where the samples were drawn from the same underlying distribution:
figure(101);
plot(X1,Y1,'r');
hold on
plot(X2,Y2,'b');
xlabel('values of 2 samples of size 20');
ylabel('Percent of data');
figure(100);
hold on;
plot([maxdiff maxdiff],[0 100],'g'); % we'll plot a green vertical bar
(When you're finished, leave the figure open; we're going to work with it a little more later.)
Q2: Now examine where the maximum difference between these 2 samples lies relative to the distribution of 1000 maximum differences that we generated above. That is, at what percentile (Y axis location on the graph of cumulative maximum differences md) is the vertical bar? (In other words, where on the Y axis does the black line intersect the green vertical bar?) Compute (100%  this percentile) to obtain the answer to our question:
We can often calculate the likelihood that 2 or more sets of samples came from the same underlying distributionMathematicians can calculate, for various assumptions, the likelihood of statements like the one above: are these 2 samples generated from the same underlying distribution? In 1933, the mathematician Andrey Kolmogorov published a proof of an equation that estimates the probability that 2 samples were generated by the same distribution. In 1948, N.V. Smirnov published tables of solutions Kolmogorov's equation. Since computing was harder in those days, the "test" that resulted is named after both mathematicians: the KolmogorovSmirnov test. Here, let's not worry too much about the formula of the equation, but let's focus a lot on the assumptions and the expected cumulative histogram (read slowly, probably many times):
KolmogorovSmirnov AssumptionsSuppose sample1 and sample2 are empirical samples of the same underling distribution, and n1 is the number of samples in sample1, and n2 is the number of samples in sample2, and D is the difference between the cumulative histograms of sample1 and sample2. Then, the expected cumulative histogram of D, which is expressed as P(x≤D) (read "the probability that a value x on the x axis is less than the value of D) is as follows:
Now let's try it out:
help ks2_cdf
x = 0:0.01:1; % create the X points
n1 = 20;
n2 = 20;
math_cdf = ks2_cdf(n1, n2, x);
math_cdf_percent = 100*math_cdf; % convert to percent rather than fraction
figure(100);
hold on;
plot(x,math_cdf_percent,'k'); % black dashed line
Q3: Does the mathematicallycomputed curve have the same shape as the one you created in your repeated experiments with the same underlying distribution?
Q4: Find the location on the Y axis (that is, the percentage) where the mathematicallycomputed curve overlaps the maximum difference value for the 2 samples that truly are different (the green vertical bar in figure 100). Calculate 100%  this probability to get the mathematicallycomputed likelihood that these 2 samples are derived from the same distribution.
Hypothesis testingWe've just performed a major task in statistical inference: we calculated the probability that 2 samples were generated by the same distribution. This probability was very low when we were dealing with 2 distributions that were actually different (because we constructed them that way).
But you don't want to tell the newspapers "the probability that my drug did not have an effect is 0.003"; the readers would rather just read whether or not the drug had a significant effect. This type of statement requires a statistical test of a hypothesis.
The standard method of performing such a hypothesis test is a little backward, but it is the following:
You might ask:
We'll play around with this more in homework.
Function referenceMatlab functions and operators
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Copyright 20112012 Stephen D. Van Hooser, all rights reserved.

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