1 | // $Id: kolmogorov_smirnov_test.cc 1626 2008-11-15 16:01:46Z peter $ |
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2 | |
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3 | /* |
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4 | Copyright (C) 2008 Peter Johansson |
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5 | |
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6 | This file is part of the yat library, http://dev.thep.lu.se/yat |
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7 | |
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8 | The yat library is free software; you can redistribute it and/or |
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9 | modify it under the terms of the GNU General Public License as |
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10 | published by the Free Software Foundation; either version 3 of the |
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11 | License, or (at your option) any later version. |
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12 | |
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13 | The yat library is distributed in the hope that it will be useful, |
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14 | but WITHOUT ANY WARRANTY; without even the implied warranty of |
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15 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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16 | General Public License for more details. |
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17 | |
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18 | You should have received a copy of the GNU General Public License |
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19 | along with yat. If not, see <http://www.gnu.org/licenses/>. |
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20 | */ |
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21 | |
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22 | #include "Suite.h" |
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23 | |
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24 | #include "yat/statistics/Averager.h" |
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25 | #include "yat/statistics/KolmogorovSmirnov.h" |
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26 | #include "yat/random/random.h" |
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27 | |
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28 | #include <cmath> |
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29 | #include <iostream> |
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30 | |
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31 | using namespace theplu::yat; |
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32 | |
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33 | void test_one_sample(test::Suite&); |
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34 | void test_two_sample(test::Suite&); |
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35 | void test_p_value(test::Suite&); |
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36 | void test_reset(test::Suite&); |
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37 | |
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38 | int main(int argc, char* argv[]) |
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39 | { |
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40 | test::Suite suite(argc, argv); |
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41 | |
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42 | test_one_sample(suite); |
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43 | test_two_sample(suite); |
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44 | test_p_value(suite); |
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45 | test_reset(suite); |
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46 | |
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47 | return suite.return_value(); |
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48 | } |
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49 | |
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50 | void test_one_sample(test::Suite& suite) |
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51 | { |
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52 | std::vector<double> correct(11); |
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53 | for (size_t i=0; i<correct.size(); ++i) { |
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54 | double s1 = 1.0 - i/10.0; |
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55 | double s2 = 0.0-i/10.0; |
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56 | if (std::abs(s1)>std::abs(s2)) |
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57 | correct[i] = s1; |
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58 | else |
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59 | correct[i] = s2; |
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60 | } |
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61 | |
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62 | for (size_t i=0; i<11; ++i) { |
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63 | statistics::KolmogorovSmirnov ks; |
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64 | for (size_t j=0; j<11; ++j) { |
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65 | ks.add(j, i==j); |
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66 | } |
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67 | double score = ks.signed_score(); |
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68 | if (!suite.add(suite.equal(score, correct[i]))) { |
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69 | suite.err() << "signed_score(void) failed\n"; |
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70 | } |
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71 | } |
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72 | |
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73 | statistics::KolmogorovSmirnov ks; |
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74 | for (size_t i=0; i<11; ++i) { |
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75 | ks.add(i, i==0); |
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76 | } |
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77 | size_t n=110000; |
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78 | double p = ks.p_value(n); |
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79 | double p_correct = 2.0/11.0; |
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80 | double margin = 10*std::sqrt(p_correct*(1-p_correct)/n); |
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81 | if (p>p_correct+margin || p<p_correct-margin) { |
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82 | suite.err() << "Error: p-value: " << p << "\n" |
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83 | << "expected approximately: " << p_correct << "\n" |
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84 | << "and at most " << margin << "deviation\n"; |
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85 | suite.add(false); |
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86 | } |
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87 | } |
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88 | |
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89 | |
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90 | void test_two_sample(test::Suite& suite) |
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91 | { |
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92 | suite.err() << "testing two sample\n"; |
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93 | statistics::KolmogorovSmirnov ks; |
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94 | for (size_t i=0; i<5; ++i) |
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95 | ks.add(i+0.5, i<2); |
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96 | suite.add(suite.equal(ks.score(), 1.0)); |
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97 | size_t n=100000; |
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98 | double p = ks.p_value(n); |
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99 | double p_correct = 0.2; |
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100 | double margin=10*std::sqrt(p_correct*(1-p_correct)/n); |
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101 | if (std::abs(p-p_correct)>margin) { |
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102 | suite.add(false); |
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103 | suite.err() << "Error: p = " << p << "\n" |
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104 | << "correct p would be: " << p_correct << "\n" |
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105 | << "expected a difference less than " << margin << "margin\n"; |
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106 | suite.err() << p << std::endl; |
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107 | } |
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108 | } |
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109 | |
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110 | |
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111 | void test_p_value(test::Suite& suite) |
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112 | { |
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113 | statistics::KolmogorovSmirnov ks; |
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114 | for (size_t i=0; i<100; ++i) { |
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115 | ks.add(i, true); |
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116 | ks.add(i+14.5, false); |
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117 | } |
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118 | suite.add(suite.equal(ks.score(), 0.15, 10)); |
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119 | |
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120 | statistics::Averager a; |
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121 | for (size_t n=0; n<100; ++n) { |
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122 | a.add(ks.p_value(100)); |
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123 | } |
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124 | double margin = 5 * a.standard_error(); |
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125 | double p_approx = ks.p_value(); |
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126 | if (std::abs(a.mean()-p_approx)>margin) { |
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127 | suite.add(false); |
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128 | suite.err() << "Error: unexpected large deviation between p_values\n" |
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129 | << "permutation p-value: " << a.mean() << "\n" |
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130 | << "analytical approximation: " << p_approx << "\n" |
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131 | << "expected deviation to be smaller than " << margin << "\n"; |
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132 | } |
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133 | |
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134 | } |
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135 | |
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136 | void test_reset(test::Suite& suite) |
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137 | { |
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138 | suite.err() << "testing reset\n"; |
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139 | statistics::KolmogorovSmirnov ks; |
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140 | ks.add(1.0, true); |
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141 | ks.add(2.0, false); |
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142 | ks.add(3.0, true); |
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143 | double score = ks.score(); |
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144 | double p = ks.p_value(); |
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145 | ks.reset(); |
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146 | ks.add(1.0, true); |
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147 | ks.add(2.0, false); |
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148 | ks.add(3.0, true); |
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149 | suite.add(suite.equal(ks.score(), score)); |
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150 | suite.add(suite.equal(ks.p_value(), p)); |
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151 | } |
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