## Mathematical and Applied Statistics Lesson of the Day – The Motivation and Intuition Behind Chebyshev’s Inequality

In 2 recent Statistics Lessons of the Day, I

Chebyshev’s inequality is just a special version of Markov’s inequality; thus, their motivations and intuitions are similar.

$P[|X - \mu| \geq k \sigma] \leq 1 \div k^2$

Markov’s inequality roughly says that a random variable $X$ is most frequently observed near its expected value, $\mu$.  Remarkably, it quantifies just how often $X$ is far away from $\mu$.  Chebyshev’s inequality goes one step further and quantifies that distance between $X$ and $\mu$ in terms of the number of standard deviations away from $\mu$.  It roughly says that the probability of $X$ being $k$ standard deviations away from $\mu$ is at most $k^{-2}$.  Notice that this upper bound decreases as $k$ increases – confirming our intuition that it is highly improbable for $X$ to be far away from $\mu$.

As with Markov’s inequality, Chebyshev’s inequality applies to any random variable $X$, as long as $E(X)$ and $V(X)$ are finite.  (Markov’s inequality requires only $E(X)$ to be finite.)  This is quite a marvelous result!

## The Chi-Squared Test of Independence – An Example in Both R and SAS

#### Introduction

The chi-squared test of independence is one of the most basic and common hypothesis tests in the statistical analysis of categorical data.  Given 2 categorical random variables, $X$ and $Y$, the chi-squared test of independence determines whether or not there exists a statistical dependence between them.  Formally, it is a hypothesis test with the following null and alternative hypotheses:

$H_0: X \perp Y \ \ \ \ \ \text{vs.} \ \ \ \ \ H_a: X \not \perp Y$

If you’re not familiar with probabilistic independence and how it manifests in categorical random variables, watch my video on calculating expected counts in contingency tables using joint and marginal probabilities.  For your convenience, here is another video that gives a gentler and more practical understanding of calculating expected counts using marginal proportions and marginal totals.

Today, I will continue from those 2 videos and illustrate how the chi-squared test of independence can be implemented in both R and SAS with the same example.

## Applied Statistics Lesson of the Day – The Coefficient of Variation

In my statistics classes, I learned to use the variance or the standard deviation to measure the variability or dispersion of a data set.  However, consider the following 2 hypothetical cases:

1. the standard deviation for the incomes of households in Canada is $2,000 2. the standard deviation for the incomes of the 5 major banks in Canada is$2,000

Even though this measure of dispersion has the same value for both sets of income data, $2,000 is a significant amount for a household, whereas$2,000 is not a lot of money for one of the “Big Five” banks.  Thus, the standard deviation alone does not give a fully accurate sense of the relative variability between the 2 data sets.  One way to overcome this limitation is to take the mean of the data sets into account.

A useful statistic for measuring the variability of a data set while scaling by the mean is the sample coefficient of variation:

$\text{Sample Coefficient of Variation (} \bar{c_v} \text{)} \ = \ s \ \div \ \bar{x},$

where $s$ is the sample standard deviation and $\bar{x}$ is the sample mean.

Analogously, the coefficient of variation for a random variable is

$\text{Coefficient of Variation} \ (c_v) \ = \ \sigma \div \ \mu,$

where $\sigma$ is the random variable’s standard deviation and $\mu$ is the random variable’s expected value.

The coefficient of variation is a very useful statistic that I, unfortunately, never learned in my introductory statistics classes.  I hope that all new statistics students get to learn this alternative measure of dispersion.

## Machine Learning and Applied Statistics Lesson of the Day – Positive Predictive Value and Negative Predictive Value

For a binary classifier,

• its positive predictive value (PPV) is the proportion of positively classified cases that were truly positive.

$\text{PPV} = \text{(Number of True Positives)} \ \div \ \text{(Number of True Positives} \ + \ \text{Number of False Positives)}$

• its negative predictive value (NPV) is the proportion of negatively classified cases that were truly negative.

$\text{NPV} = \text{(Number of True Negatives)} \ \div \ \text{(Number of True Negatives} \ + \ \text{Number of False Negatives)}$

In a later Statistics and Machine Learning Lesson of the Day, I will discuss the differences between PPV/NPV and sensitivity/specificity in assessing the predictive accuracy of a binary classifier.

(Recall that sensitivity and specificity can also be used to evaluate the performance of a binary classifier.  Based on those 2 statistics, we can construct receiver operating characteristic (ROC) curves to assess the predictive accuracy of the classifier, and a minimum standard for a good ROC curve is being better than the line of no discrimination.)

## Mathematical and Applied Statistics Lesson of the Day – Don’t Use the Terms “Independent Variable” and “Dependent Variable” in Regression

In math and science, we learn the equation of a line as

$y = mx + b$,

with $y$ being called the dependent variable and $x$ being called the independent variable.  This terminology holds true for more complicated functions with multiple variables, such as in polynomial regression.

I highly discourage the use of “independent” and “dependent” in the context of statistics and regression, because these terms have other meanings in statistics.  In probability, 2 random variables $X_1$ and $X_2$ are independent if their joint distribution is simply a product of their marginal distributions, and they are dependent if otherwise.  Thus, the usage of “independent variable” for a regression model with 2 predictors becomes problematic if the model assumes that the predictors are random variables; a random effects model is an example with such an assumption.  An obvious question for such models is whether or not the independent variables are independent, which is a rather confusing question with 2 uses of the word “independent”.  A better way to phrase that question is whether or not the predictors are independent.

Thus, in a statistical regression model, I strongly encourage the use of the terms “response variable” or “target variable” (or just “response” and “target”) for $Y$ and the terms “explanatory variables”, “predictor variables”, “predictors”, “covariates”, or “factors” for $x_1, x_2, .., x_p$.

(I have encountered some statisticians who prefer to reserve “covariate” for continuous predictors and “factor” for categorical predictors.)

## Applied Statistics Lesson of the Day – Polynomial Regression is Actually Just Linear Regression

Continuing from my previous Statistics Lesson of the Day on what “linear” really means in “linear regression”, I want to highlight a common example involving this nomenclature that can mislead non-statisticians.  Polynomial regression is a commonly used multiple regression technique; it models the systematic component of the regression model as a $p\text{th}$-order polynomial relationship between the response variable $Y$ and the explanatory variable $x$.

$Y = \beta_0 + \beta_1 x + \beta_2 x^2 + ... + \beta_p x^p + \varepsilon$

However, this model is still a linear regression model, because the response variable is still a linear combination of the regression coefficients.  The regression coefficients would still be estimated using linear algebra through the method of least squares.

Remember: the “linear” in linear regression refers to the linearity between the response variable and the regression coefficients, NOT between the response variable and the explanatory variable(s).

## Mathematics and Applied Statistics Lesson of the Day – The Harmonic Mean

The harmonic mean, H, for $n$ positive real numbers $x_1, x_2, ..., x_n$ is defined as

$H = n \div (1/x_1 + 1/x_2 + .. + 1/x_n) = n \div \sum_{i = 1}^{n}x_i^{-1}$.

This type of mean is useful for measuring the average of rates.  For example, consider a car travelling for 240 kilometres at 2 different speeds:

1. 60 km/hr for 120 km
2. 40 km/hr for another 120 km

Then its average speed for this trip is

$S_{avg} = 2 \div (1/60 + 1/40) = 48 \text{ km/hr}$

Notice that the speed for the 2 trips have equal weight in the calculation of the harmonic mean – this is valid because of the equal distance travelled at the 2 speeds.  If the distances were not equal, then use a weighted harmonic mean instead – I will cover this in a later lesson.

To confirm the formulaic calculation above, let’s use the definition of average speed from physics.  The average speed is defined as

$S_{avg} = \Delta \text{distance} \div \Delta \text{time}$

We already have the elapsed distance – it’s 240 km.  Let’s find the time elapsed for this trip.

$\Delta \text{ time} = 120 \text{ km} \times (1 \text{ hr}/60 \text{ km}) + 120 \text{ km} \times (1 \text{ hr}/40 \text{ km})$

$\Delta \text{time} = 5 \text{ hours}$

Thus,

$S_{avg} = 240 \text{ km} \div 5 \text{ hours} = 48 \text { km/hr}$

Notice that this explicit calculation of the average speed by the definition from kinematics is the same as the average speed that we calculated from the harmonic mean!

## Machine Learning and Applied Statistics Lesson of the Day – Sensitivity and Specificity

To evaluate the predictive accuracy of a binary classifier, two useful (but imperfect) criteria are sensitivity and specificity.

Sensitivity is the proportion of truly positives cases that were classified as positive; thus, it is a measure of how well your classifier identifies positive cases.  It is also known as the true positive rate.  Formally,

$\text{Sensitivity} = \text{(Number of True Positives)} \ \div \ \text{(Number of True Positives + Number of False Negatives)}$

Specificity is the proportion of truly negative cases that were classified as negative; thus, it is a measure of how well your classifier identifies negative cases.  It is also known as the true negative rate.  Formally,

$\text{Specificity} = \text{(Number of True Negatives)} \ \div \ \text{(Number of True Negatives + Number of False Positives)}$

## Applied Statistics Lesson and Humour of the Day – Type I Error (False Positive) and Type 2 Error (False Negative)

In hypothesis testing,

• a Type 1 error is the rejection of the null hypothesis when it is actually true
• a Type 2 error is the acceptance of the null hypothesis when it is actually false.  (Some statisticians prefer to say “failure to reject” rather than “accept” the null hypothesis for Type 2 errors.)

A Type 1 error is also known as a false positive, and a Type 2 error is also known as a false negative.  This nomenclature comes from the conventional connotation of

• the null hypothesis as the “negative” or the “boring” result
• the alternative hypothesis as the “positive” or “exciting” result.

A great way to illustrate the meaning and the intuition of Type 1 errors and Type 2 errors is the following cartoon.

Source of Image: Effect Size FAQs by Paul Ellis

In this case, the null hypothesis (or the “boring” result) is “You’re not pregnant”, and the alternative hypothesis (or the “exciting” result) is “You’re pregnant!”.

This is the most effective way to explain Type 1 error and Type 2 error that I have encountered!

## Applied Statistics Lesson of the Day – Notation for Fractional Factorial Designs

Fractional factorial designs use the $L^{F-p}$ notation; unfortunately, this notation is not clearly explained in most textbooks or web sites about experimental design.  I hope that my explanation below is useful.

• $L$ is the number of levels in each factor; note that the $L^{F-p}$ notation assumes that all factors have the same number of levels.
• If a factor has 2 levels, then the levels are usually coded as $+1$ and $-1$.
• If a factor has 3 levels, then the levels are usually coded as $+1$, $0$, and $-1$.
• $F$ is the number of factors in the experiment
• $p$ is the number of times that the full factorial design is fractionated by $L$.  This number is badly explained by most textbooks and web sites that I have seen, because they simply say that $p$ is the fraction – this is confusing, because a fraction has a numerator and a denominator, and $p$ is just 1 number.  To clarify,
• the fraction is $L^{-p}$
• the number of treatments in the fractional factorial design is $L^{-p}$ multiplied by the total possible number of treatments in the full factorial design, which is $L^F$.

If all $L^F$ possible treatments are used in the experiment, then a full factorial design is used.  If a fractional factorial design is used instead, then $L^{-p}$ denotes the fraction of the $L^F$ treatments that is used.

Most factorial experiments use binary factors (i.e. factors with 2 levels, $L = 2$).  Thus,

• if $p = 1$, then the fraction of treatments that is used is $2^{-1} = 1/2$.
• if $p = 2$, then the fraction of treatments that is used is $2^{-2} = 1/4$.

This is why

• a $2^{F-1}$ design is often called a half-fraction design.
• a $2^{F-2}$ design is often called a quarter-fraction design.

However, most sources that I have read do not bother to mention that $L$ can be greater than 2; experiments with 3-level factors are less frequent but still common.  Thus, the terms half-fraction design and half-quarter design only apply to binary factors.  If $L = 3$, then

• a $3^{F-1}$ design uses one-third of all possible treatments.
• a $3^{F-2}$ design uses one-ninth of all possible treatments.

## Applied Statistics Lesson of the Day – Fractional Factorial Design and the Sparsity-of-Effects Principle

Consider again an experiment that seeks to determine the causal relationships between $G$ factors and the response, where $G > 1$.  Ideally, the sample size is large enough for a full factorial design to be used.  However, if the sample size is small and the number of possible treatments is large, then a fractional factorial design can be used instead.  Such a design assigns the experimental units to a select fraction of the treatments; these treatments are chosen carefully to investigate the most significant causal relationships, while leaving aside the insignificant ones.

When, then, are the significant causal relationships?  According to the sparsity-of-effects principle, it is unlikely that complex, higher-order effects exist, and that the most important effects are the lower-order effects.  Thus, assign the experimental units so that main (1st-order) effects and the 2nd-order interaction effects can be investigated.  This may neglect the discovery of a few significant higher-order effects, but that is the compromise that a fractional factorial design makes when the sample size available is low and the number of possible treatments is high.

## Applied Statistics Lesson of the Day – The Full Factorial Design

An experimenter may seek to determine the causal relationships between $G$ factors and the response, where $G > 1$.  On first instinct, you may be tempted to conduct $G$ separate experiments, each using the completely randomized design with 1 factor.  Often, however, it is possible to conduct 1 experiment with $G$ factors at the same time.  This is better than the first approach because

• it is faster
• it uses less resources to answer the same questions
• the interactions between the $G$ factors can be examined

Such an experiment requires the full factorial design; in this design, the treatments are all possible combinations of all levels of all factors.  After controlling for confounding variables and choosing the appropriate range and number of levels of the factor, the different treatments are applied to the different groups, and data on the resulting responses are collected.

The simplest full factorial experiment consists of 2 factors, each with 2 levels.  Such an experiment would result in $2 \times 2 = 4$ treatments, each being a combination of 1 level from the first factor and 1 level from the second factor.  Since this is a full factorial design, experimental units are independently assigned to all treatments.  The 2-factor ANOVA model is commonly used to analyze data from such designs.

In later lessons, I will discuss interactions and 2-factor ANOVA in more detail.

## Applied Statistics Lesson of the Day – Positive Control in Experimental Design

In my recent lesson on controlling for confounders in experimental design, the control group was described as one that received a neutral or standard treatment, and the standard treatment may simply be nothing.  This is a negative control group.  Not all experiments require a negative control group; some experiments instead have positive control group.

A positive control group is a group of experimental units that receive a treatment that is known to cause an effect on the response.  Such a causal relationship would have been previously established, and its inclusion in the experiment allows a new treatment to be compared to this existing treatment.  Again, both the positive control group and the experimental group experience the same experimental procedures and conditions except for the treatment.  The existing treatment with the known effect on the response is applied to the positive control group, and the new treatment with the unknown effect on the response is applied to the experimental group.  If the new treatment has a causal relationship with the response, both the positive control group and the experimental group should have the same responses.  (This assumes, of course, that the response can only be changed in 1 direction.  If the response can increase or decrease in value (or, more generally, change in more than 1 way), then it is possible for the positive control group and the experimental group to have the different responses.

In short, in an experiment with a positive control group, an existing treatment is known to “work”, and the new treatment is being tested to see if it can “work” just as well or even better.  Experiments to test for the effectiveness of a new medical therapies or a disease detector often have positive controls; there are existing therapies or detectors that work well, and the new therapy or detector is being evaluated for its effectiveness.

Experiments with positive controls are useful for ensuring that the experimental procedures and conditions proceed as planned.  If the positive control does not show the expected response, then something is wrong with the experimental procedures or conditions, and any “good” result from the new treatment should be considered with skepticism.

## Applied Statistics Lesson of the Day – Basic Terminology in Experimental Design #1

Experiment: A procedure to determine the causal relationship between 2 variables – an explanatory variable and a response variable.  The value of the explanatory variable is changed, and the value of the response variable is observed for each value of the explantory variable.

• An experiment can have 2 or more explanatory variables and 2 or more response variables.
• In my experience, I find that most experiments have 1 response variable, but many experiments have 2 or more explanatory variables.  The interactions between the multiple explanatory variables are often of interest.
• All other variables are held constant in this process to avoid confounding.

Explanatory Variable or Factor: The variable whose values are set by the experimenter.  This variable is the cause in the hypothesis.  (*Many people call this the independent variable.  I discourage this usage, because “independent” means something very different in statistics.)

Response Variable: The variable whose values are observed by the experimenter as the explanatory variable’s value is changed.  This variable is the effect in the hypothesis.  (*Many people call this the dependent variable.  Further to my previous point about “independent variables”, dependence means something very different in statistics, and I discourage using this usage.)

Factor Level: Each possible value of the factor (explanatory variable).  A factor must have at least 2 levels.

Treatment: Each possible combination of factor levels.

• If the experiment has only 1 explanatory variable, then each treatment is simply each factor level.
• If the experiment has 2 explanatory variables, X and Y, then each treatment is a combination of 1 factor level from X and 1 factor level from Y.  Such combining of factor levels generalizes to experiments with more than 2 explanatory variables.

Experimental Unit: The object on which a treatment is applied.  This can be anything – person, group of people, animal, plant, chemical, guitar, baseball, etc.

## Exploratory Data Analysis – Kernel Density Estimation and Rug Plots in R on Ozone Data in New York and Ozonopolis

Update on July 15, 2013:

Thanks to Harlan Nelson for noting on AnalyticBridge that the ozone concentrations for both New York and Ozonopolis are non-negative quantities, so their kernel density plot should have non-negative support sets.  This has been corrected in this post by

- defining new variables called max.ozone and max.ozone2

- using the options “from = 0″ and “to = max.ozone” or “to = max.ozone2″ in the density() function when defining density.ozone and density.ozone2 in the R code.

Update on February 2, 2014:

Harlan also noted in the above comment that any truncated kernel density estimator (KDE) from density() in R does not integrate to 1 over its support set.  Thanks to Julian Richer Daily for suggesting on AnalyticBridge to scale any truncated kernel density estimator (KDE) from density() by its integral to get a KDE that integrates to 1 over its support set.  I have used my own function for trapezoidal integration to do so, and this has been added below.

I thank everyone for your patience while I took the time to write a post about numerical integration before posting this correction.  I was in the process of moving between jobs and cities when Harlan first brought this issue to my attention, and I had also been planning a major expansion of this blog since then.  I am glad that I have finally started a series on numerical integration to provide the conceptual background for the correction of this error, and I hope that they are helpful.  I recognize that this is a rather late correction, and I apologize for any confusion.

For the sake of brevity, this post has been created from the second half of a previous long post on kernel density estimation.  This second half focuses on constructing kernel density plots and rug plots in R.  The first half focused on the conceptual foundations of kernel density estimation.

#### Introduction

This post follows the recent introduction of the conceptual foundations of kernel density estimation.  It uses the “Ozone” data from the built-in “airquality” data set in R and the previously simulated ozone data for the fictitious city of “Ozonopolis” to illustrate how to construct kernel density plots in R.  It also introduces rug plots, shows how they can complement kernel density plots, and shows how to construct them in R.

This is another post in a recent series on exploratory data analysis, which has included posts on descriptive statistics, box plots, violin plots, the conceptual foundations of empirical cumulative distribution functions (CDFs), and how to plot empirical CDFs in R.

Read the rest of this post to learn how to create the above combination of a kernel density plot and a rug plot!

## Exploratory Data Analysis: Kernel Density Estimation – Conceptual Foundations

For the sake of brevity, this post has been created from the first half of a previous long post on kernel density estimation.  This first half focuses on the conceptual foundations of kernel density estimationThe second half will focus on constructing kernel density plots and rug plots in R.

#### Introduction

Recently, I began a series on exploratory data analysis; so far, I have written about computing descriptive statistics and creating box plots in R for a univariate data set with missing values.  Today, I will continue this series by introducing the underlying concepts of kernel density estimation, a useful non-parametric technique for visualizing the underlying distribution of a continuous variable.  In the follow-up post, I will show how to construct kernel density estimates and plot them in R.  I will also introduce rug plots and show how they can complement kernel density plots.

But first – read the rest of this post to learn the conceptual foundations of kernel density estimation.

## Webinar – Advanced Predictive Modelling for Manufacturing

The company that I work for, Predictum, is about to begin a free webinar series on statistics and analytics, and I will present the first one on Tuesday, May 14, at 2 pm EDT.  This first webinar will focus on how partial least squares regression can be used as a predictive modelling technique; the data sets are written in the context of manufacturing, but it is definitely to all industries that need techniques beyond basic statistical tools like linear regression for predictive modelling.  JMP, a software that Predictum uses extensively, will be used to illustrate how partial least squares regression can be implemented.  This presentation will not be heavy in mathematical detail, so it will be accessible to a wide audience, including statisticians, analysts, managers, and executives.

Attend my company’s free webinar to listen to me talking about advanced predictive modelling and partial least squares regression!

To register for this free webinar, visit the webinar’s registration page on Webex.

## How to Calculate a Partial Correlation Coefficient in R: An Example with Oxidizing Ammonia to Make Nitric Acid

#### Introduction

Today, I will talk about the math behind calculating partial correlation and illustrate the computation in R.  The computation uses an example involving the oxidation of ammonia to make nitric acid, and this example comes from a built-in data set in R called stackloss.

I read Pages 234-237 in Section 6.6 of “Discovering Statistics Using R” by Andy Field, Jeremy Miles, and Zoe Field to learn about partial correlation.  They used a data set called “Exam Anxiety.dat” available from their companion web site (look under “6 Correlation”) to illustrate this concept; they calculated the partial correlation coefficient between exam anxiety and revision time while controlling for exam score.  As I discuss further below, the plot between the 2 above residuals helps to illustrate the calculation of partial correlation coefficients.  This plot makes intuitive sense; if you take more time to study for an exam, you tend to have less exam anxiety, so there is a negative correlation between revision time and exam anxiety.

They used a function called pcor() in a package called “ggm”; however, I suspect that this package is no longer working properly, because it depends on a deprecated package called “RBGL” (i.e. “RBGL” is no longer available in CRAN).  See this discussion thread for further information.  Thus, I wrote my own R function to illustrate partial correlation.

Partial correlation is the correlation between 2 random variables while holding other variables constant.  To calculate the partial correlation between X and Y while holding Z constant (or controlling for the effect of Z, or averaging out Z),

## Checking the Goodness of Fit of the Poisson Distribution in R for Alpha Decay by Americium-241

#### Introduction

Today, I will discuss the alpha decay of americium-241 and use R to model the number of emissions from a real data set with the Poisson distribution.  I was especially intrigued in learning about the use of Am-241 in smoke detectors, and I will elaborate on this clever application.  I will then use the Pearson chi-squared test to check the goodness of fit of my model.  The R script for the full analysis is given at the end of the post; there is a particularly useful code for superscripting the mass number of a chemical isotope in the title of a plot.  While there are many examples of superscripts in plot titles and axes that can be found on the web, none showed how to put the superscript before a text.  I hope that this and other tricks in this script are of use to you.

Smoke Detector with Americium-241

## Checking for Normality with Quantile Ranges and the Standard Deviation

#### Introduction

I was reading Michael Trosset’s “An Introduction to Statistical Inference and Its Applications with R”, and I learned a basic but interesting fact about the normal distribution’s interquartile range and standard deviation that I had not learned before.  This turns out to be a good way to check for normality in a data set.

In this post, I introduce several traditional ways of checking for normality (or goodness of fit in general), talk about the method that I learned from Trosset’s book, then build upon this method by possibly coming up with a new way to check for normality.  I have not fully established this idea, so I welcome your thoughts and ideas.