ceph/src/boost/libs/math/doc/html/math_toolkit/stat_tut/weg/binom_eg/binom_conf.html

   1 <html>
   2 <head>
   3 <meta http-equiv="Content-Type" content="text/html; charset=US-ASCII">
   4 <title>Calculating Confidence Limits on the Frequency of Occurrence for a Binomial Distribution</title>
   5 <link rel="stylesheet" href="../../../../math.css" type="text/css">
   6 <meta name="generator" content="DocBook XSL Stylesheets V1.77.1">
   7 <link rel="home" href="../../../../index.html" title="Math Toolkit 2.5.1">
   8 <link rel="up" href="../binom_eg.html" title="Binomial Distribution Examples">
   9 <link rel="prev" href="binomial_quiz_example.html" title="Binomial Quiz Example">
  10 <link rel="next" href="binom_size_eg.html" title="Estimating Sample Sizes for a Binomial Distribution.">
  11 </head>
  12 <body bgcolor="white" text="black" link="#0000FF" vlink="#840084" alink="#0000FF">
  13 <table cellpadding="2" width="100%"><tr>
  14 <td valign="top"><img alt="Boost C++ Libraries" width="277" height="86" src="../../../../../../../../boost.png"></td>
  15 <td align="center"><a href="../../../../../../../../index.html">Home</a></td>
  16 <td align="center"><a href="../../../../../../../../libs/libraries.htm">Libraries</a></td>
  17 <td align="center"><a href="http://www.boost.org/users/people.html">People</a></td>
  18 <td align="center"><a href="http://www.boost.org/users/faq.html">FAQ</a></td>
  19 <td align="center"><a href="../../../../../../../../more/index.htm">More</a></td>
  20 </tr></table>
  21 <hr>
  22 <div class="spirit-nav">
  23 <a accesskey="p" href="binomial_quiz_example.html"><img src="../../../../../../../../doc/src/images/prev.png" alt="Prev"></a><a accesskey="u" href="../binom_eg.html"><img src="../../../../../../../../doc/src/images/up.png" alt="Up"></a><a accesskey="h" href="../../../../index.html"><img src="../../../../../../../../doc/src/images/home.png" alt="Home"></a><a accesskey="n" href="binom_size_eg.html"><img src="../../../../../../../../doc/src/images/next.png" alt="Next"></a>
  24 </div>
  25 <div class="section">
  26 <div class="titlepage"><div><div><h5 class="title">
  27 <a name="math_toolkit.stat_tut.weg.binom_eg.binom_conf"></a><a class="link" href="binom_conf.html" title="Calculating Confidence Limits on the Frequency of Occurrence for a Binomial Distribution">Calculating
  28           Confidence Limits on the Frequency of Occurrence for a Binomial Distribution</a>
  29 </h5></div></div></div>
  30 <p>
  31             Imagine you have a process that follows a binomial distribution: for
  32             each trial conducted, an event either occurs or does it does not, referred
  33             to as "successes" and "failures". If, by experiment,
  34             you want to measure the frequency with which successes occur, the best
  35             estimate is given simply by <span class="emphasis"><em>k</em></span> / <span class="emphasis"><em>N</em></span>,
  36             for <span class="emphasis"><em>k</em></span> successes out of <span class="emphasis"><em>N</em></span> trials.
  37             However our confidence in that estimate will be shaped by how many trials
  38             were conducted, and how many successes were observed. The static member
  39             functions <code class="computeroutput"><span class="identifier">binomial_distribution</span><span class="special">&lt;&gt;::</span><span class="identifier">find_lower_bound_on_p</span></code>
  40             and <code class="computeroutput"><span class="identifier">binomial_distribution</span><span class="special">&lt;&gt;::</span><span class="identifier">find_upper_bound_on_p</span></code>
  41             allow you to calculate the confidence intervals for your estimate of
  42             the occurrence frequency.
  43           </p>
  44 <p>
  45             The sample program <a href="../../../../../../example/binomial_confidence_limits.cpp" target="_top">binomial_confidence_limits.cpp</a>
  46             illustrates their use. It begins by defining a procedure that will print
  47             a table of confidence limits for various degrees of certainty:
  48           </p>
  49 <pre class="programlisting"><span class="preprocessor">#include</span> <span class="special">&lt;</span><span class="identifier">iostream</span><span class="special">&gt;</span>
  50 <span class="preprocessor">#include</span> <span class="special">&lt;</span><span class="identifier">iomanip</span><span class="special">&gt;</span>
  51 <span class="preprocessor">#include</span> <span class="special">&lt;</span><span class="identifier">boost</span><span class="special">/</span><span class="identifier">math</span><span class="special">/</span><span class="identifier">distributions</span><span class="special">/</span><span class="identifier">binomial</span><span class="special">.</span><span class="identifier">hpp</span><span class="special">&gt;</span>
  52
  53 <span class="keyword">void</span> <span class="identifier">confidence_limits_on_frequency</span><span class="special">(</span><span class="keyword">unsigned</span> <span class="identifier">trials</span><span class="special">,</span> <span class="keyword">unsigned</span> <span class="identifier">successes</span><span class="special">)</span>
  54 <span class="special">{</span>
  55    <span class="comment">//</span>
  56    <span class="comment">// trials = Total number of trials.</span>
  57    <span class="comment">// successes = Total number of observed successes.</span>
  58    <span class="comment">//</span>
  59    <span class="comment">// Calculate confidence limits for an observed</span>
  60    <span class="comment">// frequency of occurrence that follows a binomial</span>
  61    <span class="comment">// distribution.</span>
  62    <span class="comment">//</span>
  63    <span class="keyword">using</span> <span class="keyword">namespace</span> <span class="identifier">std</span><span class="special">;</span>
  64    <span class="keyword">using</span> <span class="keyword">namespace</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">;</span>
  65
  66    <span class="comment">// Print out general info:</span>
  67    <span class="identifier">cout</span> <span class="special">&lt;&lt;</span>
  68       <span class="string">"___________________________________________\n"</span>
  69       <span class="string">"2-Sided Confidence Limits For Success Ratio\n"</span>
  70       <span class="string">"___________________________________________\n\n"</span><span class="special">;</span>
  71    <span class="identifier">cout</span> <span class="special">&lt;&lt;</span> <span class="identifier">setprecision</span><span class="special">(</span><span class="number">7</span><span class="special">);</span>
  72    <span class="identifier">cout</span> <span class="special">&lt;&lt;</span> <span class="identifier">setw</span><span class="special">(</span><span class="number">40</span><span class="special">)</span> <span class="special">&lt;&lt;</span> <span class="identifier">left</span> <span class="special">&lt;&lt;</span> <span class="string">"Number of Observations"</span> <span class="special">&lt;&lt;</span> <span class="string">"=  "</span> <span class="special">&lt;&lt;</span> <span class="identifier">trials</span> <span class="special">&lt;&lt;</span> <span class="string">"\n"</span><span class="special">;</span>
  73    <span class="identifier">cout</span> <span class="special">&lt;&lt;</span> <span class="identifier">setw</span><span class="special">(</span><span class="number">40</span><span class="special">)</span> <span class="special">&lt;&lt;</span> <span class="identifier">left</span> <span class="special">&lt;&lt;</span> <span class="string">"Number of successes"</span> <span class="special">&lt;&lt;</span> <span class="string">"=  "</span> <span class="special">&lt;&lt;</span> <span class="identifier">successes</span> <span class="special">&lt;&lt;</span> <span class="string">"\n"</span><span class="special">;</span>
  74    <span class="identifier">cout</span> <span class="special">&lt;&lt;</span> <span class="identifier">setw</span><span class="special">(</span><span class="number">40</span><span class="special">)</span> <span class="special">&lt;&lt;</span> <span class="identifier">left</span> <span class="special">&lt;&lt;</span> <span class="string">"Sample frequency of occurrence"</span> <span class="special">&lt;&lt;</span> <span class="string">"=  "</span> <span class="special">&lt;&lt;</span> <span class="keyword">double</span><span class="special">(</span><span class="identifier">successes</span><span class="special">)</span> <span class="special">/</span> <span class="identifier">trials</span> <span class="special">&lt;&lt;</span> <span class="string">"\n"</span><span class="special">;</span>
  75 </pre>
  76 <p>
  77             The procedure now defines a table of significance levels: these are the
  78             probabilities that the true occurrence frequency lies outside the calculated
  79             interval:
  80           </p>
  81 <pre class="programlisting"><span class="keyword">double</span> <span class="identifier">alpha</span><span class="special">[]</span> <span class="special">=</span> <span class="special">{</span> <span class="number">0.5</span><span class="special">,</span> <span class="number">0.25</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> <span class="number">0.01</span><span class="special">,</span> <span class="number">0.001</span><span class="special">,</span> <span class="number">0.0001</span><span class="special">,</span> <span class="number">0.00001</span> <span class="special">};</span>
  82 </pre>
  83 <p>
  84             Some pretty printing of the table header follows:
  85           </p>
  86 <pre class="programlisting"><span class="identifier">cout</span> <span class="special">&lt;&lt;</span> <span class="string">"\n\n"</span>
  87         <span class="string">"_______________________________________________________________________\n"</span>
  88         <span class="string">"Confidence        Lower CP       Upper CP       Lower JP       Upper JP\n"</span>
  89         <span class="string">" Value (%)        Limit          Limit          Limit          Limit\n"</span>
  90         <span class="string">"_______________________________________________________________________\n"</span><span class="special">;</span>
  91 </pre>
  92 <p>
  93             And now for the important part - the intervals themselves - for each
  94             value of <span class="emphasis"><em>alpha</em></span>, we call <code class="computeroutput"><span class="identifier">find_lower_bound_on_p</span></code>
  95             and <code class="computeroutput"><span class="identifier">find_lower_upper_on_p</span></code>
  96             to obtain lower and upper bounds respectively. Note that since we are
  97             calculating a two-sided interval, we must divide the value of alpha in
  98             two.
  99           </p>
 100 <p>
 101             Please note that calculating two separate <span class="emphasis"><em>single sided bounds</em></span>,
 102             each with risk level &#945; &#160;is not the same thing as calculating a two sided
 103             interval. Had we calculate two single-sided intervals each with a risk
 104             that the true value is outside the interval of &#945;, then:
 105           </p>
 106 <div class="itemizedlist"><ul class="itemizedlist" style="list-style-type: disc; "><li class="listitem">
 107                 The risk that it is less than the lower bound is &#945;.
 108               </li></ul></div>
 109 <p>
 110             and
 111           </p>
 112 <div class="itemizedlist"><ul class="itemizedlist" style="list-style-type: disc; "><li class="listitem">
 113                 The risk that it is greater than the upper bound is also &#945;.
 114               </li></ul></div>
 115 <p>
 116             So the risk it is outside <span class="bold"><strong>upper or lower bound</strong></span>,
 117             is <span class="bold"><strong>twice</strong></span> alpha, and the probability
 118             that it is inside the bounds is therefore not nearly as high as one might
 119             have thought. This is why &#945;/2 must be used in the calculations below.
 120           </p>
 121 <p>
 122             In contrast, had we been calculating a single-sided interval, for example:
 123             <span class="emphasis"><em>"Calculate a lower bound so that we are P% sure that the
 124             true occurrence frequency is greater than some value"</em></span>
 125             then we would <span class="bold"><strong>not</strong></span> have divided by two.
 126           </p>
 127 <p>
 128             Finally note that <code class="computeroutput"><span class="identifier">binomial_distribution</span></code>
 129             provides a choice of two methods for the calculation, we print out the
 130             results from both methods in this example:
 131           </p>
 132 <pre class="programlisting">   <span class="keyword">for</span><span class="special">(</span><span class="keyword">unsigned</span> <span class="identifier">i</span> <span class="special">=</span> <span class="number">0</span><span class="special">;</span> <span class="identifier">i</span> <span class="special">&lt;</span> <span class="keyword">sizeof</span><span class="special">(</span><span class="identifier">alpha</span><span class="special">)/</span><span class="keyword">sizeof</span><span class="special">(</span><span class="identifier">alpha</span><span class="special">[</span><span class="number">0</span><span class="special">]);</span> <span class="special">++</span><span class="identifier">i</span><span class="special">)</span>
 133    <span class="special">{</span>
 134       <span class="comment">// Confidence value:</span>
 135       <span class="identifier">cout</span> <span class="special">&lt;&lt;</span> <span class="identifier">fixed</span> <span class="special">&lt;&lt;</span> <span class="identifier">setprecision</span><span class="special">(</span><span class="number">3</span><span class="special">)</span> <span class="special">&lt;&lt;</span> <span class="identifier">setw</span><span class="special">(</span><span class="number">10</span><span class="special">)</span> <span class="special">&lt;&lt;</span> <span class="identifier">right</span> <span class="special">&lt;&lt;</span> <span class="number">100</span> <span class="special">*</span> <span class="special">(</span><span class="number">1</span><span class="special">-</span><span class="identifier">alpha</span><span class="special">[</span><span class="identifier">i</span><span class="special">]);</span>
 136       <span class="comment">// Calculate Clopper Pearson bounds:</span>
 137       <span class="keyword">double</span> <span class="identifier">l</span> <span class="special">=</span> <span class="identifier">binomial_distribution</span><span class="special">&lt;&gt;::</span><span class="identifier">find_lower_bound_on_p</span><span class="special">(</span>
 138                      <span class="identifier">trials</span><span class="special">,</span> <span class="identifier">successes</span><span class="special">,</span> <span class="identifier">alpha</span><span class="special">[</span><span class="identifier">i</span><span class="special">]/</span><span class="number">2</span><span class="special">);</span>
 139       <span class="keyword">double</span> <span class="identifier">u</span> <span class="special">=</span> <span class="identifier">binomial_distribution</span><span class="special">&lt;&gt;::</span><span class="identifier">find_upper_bound_on_p</span><span class="special">(</span>
 140                      <span class="identifier">trials</span><span class="special">,</span> <span class="identifier">successes</span><span class="special">,</span> <span class="identifier">alpha</span><span class="special">[</span><span class="identifier">i</span><span class="special">]/</span><span class="number">2</span><span class="special">);</span>
 141       <span class="comment">// Print Clopper Pearson Limits:</span>
 142       <span class="identifier">cout</span> <span class="special">&lt;&lt;</span> <span class="identifier">fixed</span> <span class="special">&lt;&lt;</span> <span class="identifier">setprecision</span><span class="special">(</span><span class="number">5</span><span class="special">)</span> <span class="special">&lt;&lt;</span> <span class="identifier">setw</span><span class="special">(</span><span class="number">15</span><span class="special">)</span> <span class="special">&lt;&lt;</span> <span class="identifier">right</span> <span class="special">&lt;&lt;</span> <span class="identifier">l</span><span class="special">;</span>
 143       <span class="identifier">cout</span> <span class="special">&lt;&lt;</span> <span class="identifier">fixed</span> <span class="special">&lt;&lt;</span> <span class="identifier">setprecision</span><span class="special">(</span><span class="number">5</span><span class="special">)</span> <span class="special">&lt;&lt;</span> <span class="identifier">setw</span><span class="special">(</span><span class="number">15</span><span class="special">)</span> <span class="special">&lt;&lt;</span> <span class="identifier">right</span> <span class="special">&lt;&lt;</span> <span class="identifier">u</span><span class="special">;</span>
 144       <span class="comment">// Calculate Jeffreys Prior Bounds:</span>
 145       <span class="identifier">l</span> <span class="special">=</span> <span class="identifier">binomial_distribution</span><span class="special">&lt;&gt;::</span><span class="identifier">find_lower_bound_on_p</span><span class="special">(</span>
 146             <span class="identifier">trials</span><span class="special">,</span> <span class="identifier">successes</span><span class="special">,</span> <span class="identifier">alpha</span><span class="special">[</span><span class="identifier">i</span><span class="special">]/</span><span class="number">2</span><span class="special">,</span>
 147             <span class="identifier">binomial_distribution</span><span class="special">&lt;&gt;::</span><span class="identifier">jeffreys_prior_interval</span><span class="special">);</span>
 148       <span class="identifier">u</span> <span class="special">=</span> <span class="identifier">binomial_distribution</span><span class="special">&lt;&gt;::</span><span class="identifier">find_upper_bound_on_p</span><span class="special">(</span>
 149             <span class="identifier">trials</span><span class="special">,</span> <span class="identifier">successes</span><span class="special">,</span> <span class="identifier">alpha</span><span class="special">[</span><span class="identifier">i</span><span class="special">]/</span><span class="number">2</span><span class="special">,</span>
 150             <span class="identifier">binomial_distribution</span><span class="special">&lt;&gt;::</span><span class="identifier">jeffreys_prior_interval</span><span class="special">);</span>
 151       <span class="comment">// Print Jeffreys Prior Limits:</span>
 152       <span class="identifier">cout</span> <span class="special">&lt;&lt;</span> <span class="identifier">fixed</span> <span class="special">&lt;&lt;</span> <span class="identifier">setprecision</span><span class="special">(</span><span class="number">5</span><span class="special">)</span> <span class="special">&lt;&lt;</span> <span class="identifier">setw</span><span class="special">(</span><span class="number">15</span><span class="special">)</span> <span class="special">&lt;&lt;</span> <span class="identifier">right</span> <span class="special">&lt;&lt;</span> <span class="identifier">l</span><span class="special">;</span>
 153       <span class="identifier">cout</span> <span class="special">&lt;&lt;</span> <span class="identifier">fixed</span> <span class="special">&lt;&lt;</span> <span class="identifier">setprecision</span><span class="special">(</span><span class="number">5</span><span class="special">)</span> <span class="special">&lt;&lt;</span> <span class="identifier">setw</span><span class="special">(</span><span class="number">15</span><span class="special">)</span> <span class="special">&lt;&lt;</span> <span class="identifier">right</span> <span class="special">&lt;&lt;</span> <span class="identifier">u</span> <span class="special">&lt;&lt;</span> <span class="identifier">std</span><span class="special">::</span><span class="identifier">endl</span><span class="special">;</span>
 154    <span class="special">}</span>
 155    <span class="identifier">cout</span> <span class="special">&lt;&lt;</span> <span class="identifier">endl</span><span class="special">;</span>
 156 <span class="special">}</span>
 157 </pre>
 158 <p>
 159             And that's all there is to it. Let's see some sample output for a 2 in
 160             10 success ratio, first for 20 trials:
 161           </p>
 162 <pre class="programlisting">___________________________________________
 163 2-Sided Confidence Limits For Success Ratio
 164 ___________________________________________
 165
 166 Number of Observations                  =  20
 167 Number of successes                     =  4
 168 Sample frequency of occurrence          =  0.2
 169
 170
 171 _______________________________________________________________________
 172 Confidence        Lower CP       Upper CP       Lower JP       Upper JP
 173  Value (%)        Limit          Limit          Limit          Limit
 174 _______________________________________________________________________
 175     50.000        0.12840        0.29588        0.14974        0.26916
 176     75.000        0.09775        0.34633        0.11653        0.31861
 177     90.000        0.07135        0.40103        0.08734        0.37274
 178     95.000        0.05733        0.43661        0.07152        0.40823
 179     99.000        0.03576        0.50661        0.04655        0.47859
 180     99.900        0.01905        0.58632        0.02634        0.55960
 181     99.990        0.01042        0.64997        0.01530        0.62495
 182     99.999        0.00577        0.70216        0.00901        0.67897
 183 </pre>
 184 <p>
 185             As you can see, even at the 95% confidence level the bounds are really
 186             quite wide (this example is chosen to be easily compared to the one in
 187             the <a href="http://www.itl.nist.gov/div898/handbook/" target="_top">NIST/SEMATECH
 188             e-Handbook of Statistical Methods.</a> <a href="http://www.itl.nist.gov/div898/handbook/prc/section2/prc241.htm" target="_top">here</a>).
 189             Note also that the Clopper-Pearson calculation method (CP above) produces
 190             quite noticeably more pessimistic estimates than the Jeffreys Prior method
 191             (JP above).
 192           </p>
 193 <p>
 194             Compare that with the program output for 2000 trials:
 195           </p>
 196 <pre class="programlisting">___________________________________________
 197 2-Sided Confidence Limits For Success Ratio
 198 ___________________________________________
 199
 200 Number of Observations                  =  2000
 201 Number of successes                     =  400
 202 Sample frequency of occurrence          =  0.2000000
 203
 204
 205 _______________________________________________________________________
 206 Confidence        Lower CP       Upper CP       Lower JP       Upper JP
 207  Value (%)        Limit          Limit          Limit          Limit
 208 _______________________________________________________________________
 209     50.000        0.19382        0.20638        0.19406        0.20613
 210     75.000        0.18965        0.21072        0.18990        0.21047
 211     90.000        0.18537        0.21528        0.18561        0.21503
 212     95.000        0.18267        0.21821        0.18291        0.21796
 213     99.000        0.17745        0.22400        0.17769        0.22374
 214     99.900        0.17150        0.23079        0.17173        0.23053
 215     99.990        0.16658        0.23657        0.16681        0.23631
 216     99.999        0.16233        0.24169        0.16256        0.24143
 217 </pre>
 218 <p>
 219             Now even when the confidence level is very high, the limits are really
 220             quite close to the experimentally calculated value of 0.2. Furthermore
 221             the difference between the two calculation methods is now really quite
 222             small.
 223           </p>
 224 </div>
 225 <table xmlns:rev="http://www.cs.rpi.edu/~gregod/boost/tools/doc/revision" width="100%"><tr>
 226 <td align="left"></td>
 227 <td align="right"><div class="copyright-footer">Copyright &#169; 2006-2010, 2012-2014 Nikhar Agrawal,
 228       Anton Bikineev, Paul A. Bristow, Marco Guazzone, Christopher Kormanyos, Hubert
 229       Holin, Bruno Lalande, John Maddock, Jeremy Murphy, Johan R&#229;de, Gautam Sewani,
 230       Benjamin Sobotta, Thijs van den Berg, Daryle Walker and Xiaogang Zhang<p>
 231         Distributed under the Boost Software License, Version 1.0. (See accompanying
 232         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>)
 233       </p>
 234 </div></td>
 235 </tr></table>
 236 <hr>
 237 <div class="spirit-nav">
 238 <a accesskey="p" href="binomial_quiz_example.html"><img src="../../../../../../../../doc/src/images/prev.png" alt="Prev"></a><a accesskey="u" href="../binom_eg.html"><img src="../../../../../../../../doc/src/images/up.png" alt="Up"></a><a accesskey="h" href="../../../../index.html"><img src="../../../../../../../../doc/src/images/home.png" alt="Home"></a><a accesskey="n" href="binom_size_eg.html"><img src="../../../../../../../../doc/src/images/next.png" alt="Next"></a>
 239 </div>
 240 </body>
 241 </html>