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25 | <div class="section"> | |
26 | <div class="titlepage"><div><div><h4 class="title"> | |
27 | <a name="math_toolkit.stat_tut.overview.complements"></a><a class="link" href="complements.html" title="Complements are supported too - and when to use them">Complements | |
28 | are supported too - and when to use them</a> | |
29 | </h4></div></div></div> | |
30 | <p> | |
31 | Often you don't want the value of the CDF, but its complement, which is | |
32 | to say <code class="computeroutput"><span class="number">1</span><span class="special">-</span><span class="identifier">p</span></code> rather than <code class="computeroutput"><span class="identifier">p</span></code>. | |
33 | It is tempting to calculate the CDF and subtract it from <code class="computeroutput"><span class="number">1</span></code>, but if <code class="computeroutput"><span class="identifier">p</span></code> | |
34 | is very close to <code class="computeroutput"><span class="number">1</span></code> then cancellation | |
35 | error will cause you to lose accuracy, perhaps totally. | |
36 | </p> | |
37 | <p> | |
38 | <a class="link" href="complements.html#why_complements">See below <span class="emphasis"><em>"Why and when | |
39 | to use complements?"</em></span></a> | |
40 | </p> | |
41 | <p> | |
42 | In this library, whenever you want to receive a complement, just wrap all | |
43 | the function arguments in a call to <code class="computeroutput"><span class="identifier">complement</span><span class="special">(...)</span></code>, for example: | |
44 | </p> | |
45 | <pre class="programlisting"><span class="identifier">students_t</span> <span class="identifier">dist</span><span class="special">(</span><span class="number">5</span><span class="special">);</span> | |
46 | <span class="identifier">cout</span> <span class="special"><<</span> <span class="string">"CDF at t = 1 is "</span> <span class="special"><<</span> <span class="identifier">cdf</span><span class="special">(</span><span class="identifier">dist</span><span class="special">,</span> <span class="number">1.0</span><span class="special">)</span> <span class="special"><<</span> <span class="identifier">endl</span><span class="special">;</span> | |
47 | <span class="identifier">cout</span> <span class="special"><<</span> <span class="string">"Complement of CDF at t = 1 is "</span> <span class="special"><<</span> <span class="identifier">cdf</span><span class="special">(</span><span class="identifier">complement</span><span class="special">(</span><span class="identifier">dist</span><span class="special">,</span> <span class="number">1.0</span><span class="special">))</span> <span class="special"><<</span> <span class="identifier">endl</span><span class="special">;</span> | |
48 | </pre> | |
49 | <p> | |
50 | But wait, now that we have a complement, we have to be able to use it as | |
51 | well. Any function that accepts a probability as an argument can also accept | |
52 | a complement by wrapping all of its arguments in a call to <code class="computeroutput"><span class="identifier">complement</span><span class="special">(...)</span></code>, | |
53 | for example: | |
54 | </p> | |
55 | <pre class="programlisting"><span class="identifier">students_t</span> <span class="identifier">dist</span><span class="special">(</span><span class="number">5</span><span class="special">);</span> | |
56 | ||
57 | <span class="keyword">for</span><span class="special">(</span><span class="keyword">double</span> <span class="identifier">i</span> <span class="special">=</span> <span class="number">10</span><span class="special">;</span> <span class="identifier">i</span> <span class="special"><</span> <span class="number">1e10</span><span class="special">;</span> <span class="identifier">i</span> <span class="special">*=</span> <span class="number">10</span><span class="special">)</span> | |
58 | <span class="special">{</span> | |
59 | <span class="comment">// Calculate the quantile for a 1 in i chance:</span> | |
60 | <span class="keyword">double</span> <span class="identifier">t</span> <span class="special">=</span> <span class="identifier">quantile</span><span class="special">(</span><span class="identifier">complement</span><span class="special">(</span><span class="identifier">dist</span><span class="special">,</span> <span class="number">1</span><span class="special">/</span><span class="identifier">i</span><span class="special">));</span> | |
61 | <span class="comment">// Print it out:</span> | |
62 | <span class="identifier">cout</span> <span class="special"><<</span> <span class="string">"Quantile of students-t with 5 degrees of freedom\n"</span> | |
63 | <span class="string">"for a 1 in "</span> <span class="special"><<</span> <span class="identifier">i</span> <span class="special"><<</span> <span class="string">" chance is "</span> <span class="special"><<</span> <span class="identifier">t</span> <span class="special"><<</span> <span class="identifier">endl</span><span class="special">;</span> | |
64 | <span class="special">}</span> | |
65 | </pre> | |
66 | <div class="tip"><table border="0" summary="Tip"> | |
67 | <tr> | |
68 | <td rowspan="2" align="center" valign="top" width="25"><img alt="[Tip]" src="../../../../../../../doc/src/images/tip.png"></td> | |
69 | <th align="left">Tip</th> | |
70 | </tr> | |
71 | <tr><td align="left" valign="top"> | |
72 | <p> | |
73 | <span class="bold"><strong>Critical values are just quantiles</strong></span> | |
74 | </p> | |
75 | <p> | |
76 | Some texts talk about quantiles, or percentiles or fractiles, others | |
77 | about critical values, the basic rule is: | |
78 | </p> | |
79 | <p> | |
80 | <span class="emphasis"><em>Lower critical values</em></span> are the same as the quantile. | |
81 | </p> | |
82 | <p> | |
83 | <span class="emphasis"><em>Upper critical values</em></span> are the same as the quantile | |
84 | from the complement of the probability. | |
85 | </p> | |
86 | <p> | |
87 | For example, suppose we have a Bernoulli process, giving rise to a binomial | |
88 | distribution with success ratio 0.1 and 100 trials in total. The <span class="emphasis"><em>lower | |
89 | critical value</em></span> for a probability of 0.05 is given by: | |
90 | </p> | |
91 | <p> | |
92 | <code class="computeroutput"><span class="identifier">quantile</span><span class="special">(</span><span class="identifier">binomial</span><span class="special">(</span><span class="number">100</span><span class="special">,</span> <span class="number">0.1</span><span class="special">),</span> <span class="number">0.05</span><span class="special">)</span></code> | |
93 | </p> | |
94 | <p> | |
95 | and the <span class="emphasis"><em>upper critical value</em></span> is given by: | |
96 | </p> | |
97 | <p> | |
98 | <code class="computeroutput"><span class="identifier">quantile</span><span class="special">(</span><span class="identifier">complement</span><span class="special">(</span><span class="identifier">binomial</span><span class="special">(</span><span class="number">100</span><span class="special">,</span> <span class="number">0.1</span><span class="special">),</span> <span class="number">0.05</span><span class="special">))</span></code> | |
99 | </p> | |
100 | <p> | |
101 | which return 4.82 and 14.63 respectively. | |
102 | </p> | |
103 | </td></tr> | |
104 | </table></div> | |
105 | <a name="why_complements"></a><div class="tip"><table border="0" summary="Tip"> | |
106 | <tr> | |
107 | <td rowspan="2" align="center" valign="top" width="25"><img alt="[Tip]" src="../../../../../../../doc/src/images/tip.png"></td> | |
108 | <th align="left">Tip</th> | |
109 | </tr> | |
110 | <tr><td align="left" valign="top"> | |
111 | <p> | |
112 | <span class="bold"><strong>Why bother with complements anyway?</strong></span> | |
113 | </p> | |
114 | <p> | |
115 | It's very tempting to dispense with complements, and simply subtract | |
116 | the probability from 1 when required. However, consider what happens | |
117 | when the probability is very close to 1: let's say the probability expressed | |
118 | at float precision is <code class="computeroutput"><span class="number">0.999999940f</span></code>, | |
119 | then <code class="computeroutput"><span class="number">1</span> <span class="special">-</span> | |
120 | <span class="number">0.999999940f</span> <span class="special">=</span> | |
121 | <span class="number">5.96046448e-008</span></code>, but the result | |
122 | is actually accurate to just <span class="emphasis"><em>one single bit</em></span>: the | |
123 | only bit that didn't cancel out! | |
124 | </p> | |
125 | <p> | |
126 | Or to look at this another way: consider that we want the risk of falsely | |
127 | rejecting the null-hypothesis in the Student's t test to be 1 in 1 billion, | |
128 | for a sample size of 10,000. This gives a probability of 1 - 10<sup>-9</sup>, which | |
129 | is exactly 1 when calculated at float precision. In this case calculating | |
130 | the quantile from the complement neatly solves the problem, so for example: | |
131 | </p> | |
132 | <p> | |
133 | <code class="computeroutput"><span class="identifier">quantile</span><span class="special">(</span><span class="identifier">complement</span><span class="special">(</span><span class="identifier">students_t</span><span class="special">(</span><span class="number">10000</span><span class="special">),</span> <span class="number">1e-9</span><span class="special">))</span></code> | |
134 | </p> | |
135 | <p> | |
136 | returns the expected t-statistic <code class="computeroutput"><span class="number">6.00336</span></code>, | |
137 | where as: | |
138 | </p> | |
139 | <p> | |
140 | <code class="computeroutput"><span class="identifier">quantile</span><span class="special">(</span><span class="identifier">students_t</span><span class="special">(</span><span class="number">10000</span><span class="special">),</span> <span class="number">1</span><span class="special">-</span><span class="number">1e-9f</span><span class="special">)</span></code> | |
141 | </p> | |
142 | <p> | |
143 | raises an overflow error, since it is the same as: | |
144 | </p> | |
145 | <p> | |
146 | <code class="computeroutput"><span class="identifier">quantile</span><span class="special">(</span><span class="identifier">students_t</span><span class="special">(</span><span class="number">10000</span><span class="special">),</span> <span class="number">1</span><span class="special">)</span></code> | |
147 | </p> | |
148 | <p> | |
149 | Which has no finite result. | |
150 | </p> | |
151 | <p> | |
152 | With all distributions, even for more reasonable probability (unless | |
153 | the value of p can be represented exactly in the floating-point type) | |
154 | the loss of accuracy quickly becomes significant if you simply calculate | |
155 | probability from 1 - p (because it will be mostly garbage digits for | |
156 | p ~ 1). | |
157 | </p> | |
158 | <p> | |
159 | So always avoid, for example, using a probability near to unity like | |
160 | 0.99999 | |
161 | </p> | |
162 | <p> | |
163 | <code class="computeroutput"><span class="identifier">quantile</span><span class="special">(</span><span class="identifier">my_distribution</span><span class="special">,</span> | |
164 | <span class="number">0.99999</span><span class="special">)</span></code> | |
165 | </p> | |
166 | <p> | |
167 | and instead use | |
168 | </p> | |
169 | <p> | |
170 | <code class="computeroutput"><span class="identifier">quantile</span><span class="special">(</span><span class="identifier">complement</span><span class="special">(</span><span class="identifier">my_distribution</span><span class="special">,</span> | |
171 | <span class="number">0.00001</span><span class="special">))</span></code> | |
172 | </p> | |
173 | <p> | |
174 | since 1 - 0.99999 is not exactly equal to 0.00001 when using floating-point | |
175 | arithmetic. | |
176 | </p> | |
177 | <p> | |
178 | This assumes that the 0.00001 value is either a constant, or can be computed | |
179 | by some manner other than subtracting 0.99999 from 1. | |
180 | </p> | |
181 | </td></tr> | |
182 | </table></div> | |
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186 | <td align="right"><div class="copyright-footer">Copyright © 2006-2010, 2012-2014 Nikhar Agrawal, | |
187 | Anton Bikineev, Paul A. Bristow, Marco Guazzone, Christopher Kormanyos, Hubert | |
188 | Holin, Bruno Lalande, John Maddock, Jeremy Murphy, Johan Råde, Gautam Sewani, | |
189 | Benjamin Sobotta, Thijs van den Berg, Daryle Walker and Xiaogang Zhang<p> | |
190 | Distributed under the Boost Software License, Version 1.0. (See accompanying | |
191 | file LICENSE_1_0.txt or copy at <a href="http://www.boost.org/LICENSE_1_0.txt" target="_top">http://www.boost.org/LICENSE_1_0.txt</a>) | |
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