xref: /external/chromium_org/tools/auto_bisect/ttest.py

# Copyright 2014 The Chromium Authors. All rights reserved.
# Use of this source code is governed by a BSD-style license that can be
# found in the LICENSE file.

"""Functions for doing independent two-sample t-tests and looking up p-values.

Note: This module was copied from the Performance Dashboard code, and changed
to use definitions of mean and variance from math_utils instead of numpy.

> A t-test is any statistical hypothesis test in which the test statistic
> follows a Student's t distribution if the null hypothesis is supported.
> It can be used to determine if two sets of data are significantly different
> from each other.

There are several conditions that the data under test should meet in order
for a t-test to be completely applicable:
 - The data should be roughly normal in distribution.
 - The two samples that are compared should be roughly similar in size.

References:
  http://en.wikipedia.org/wiki/Student%27s_t-test
  http://en.wikipedia.org/wiki/Welch%27s_t-test
  https://github.com/scipy/scipy/blob/master/scipy/stats/stats.py#L3244
"""

import math

import math_utils


def WelchsTTest(sample1, sample2):
  """Performs Welch's t-test on the two samples.

  Welch's t-test is an adaptation of Student's t-test which is used when the
  two samples may have unequal variances. It is also an independent two-sample
  t-test.

  Args:
    sample1: A collection of numbers.
    sample2: Another collection of numbers.

  Returns:
    A 3-tuple (t-statistic, degrees of freedom, p-value).
  """
  mean1 = math_utils.Mean(sample1)
  mean2 = math_utils.Mean(sample2)
  v1 = math_utils.Variance(sample1)
  v2 = math_utils.Variance(sample2)
  n1 = len(sample1)
  n2 = len(sample2)
  t = _TValue(mean1, mean2, v1, v2, n1, n2)
  df = _DegreesOfFreedom(v1, v2, n1, n2)
  p = _LookupPValue(t, df)
  return t, df, p


def _TValue(mean1, mean2, v1, v2, n1, n2):
  """Calculates a t-statistic value using the formula for Welch's t-test.

  The t value can be thought of as a signal-to-noise ratio; a higher t-value
  tells you that the groups are more different.

  Args:
    mean1: Mean of sample 1.
    mean2: Mean of sample 2.
    v1: Variance of sample 1.
    v2: Variance of sample 2.
    n1: Sample size of sample 1.
    n2: Sample size of sample 2.

  Returns:
    A t value, which may be negative or positive.
  """
  # If variance of both segments is zero, return some large t-value.
  if v1 == 0 and v2 == 0:
    return 1000.0
  return (mean1 - mean2) / (math.sqrt(v1 / n1 + v2 / n2))


def _DegreesOfFreedom(v1, v2, n1, n2):
  """Calculates degrees of freedom using the Welch-Satterthwaite formula.

  Degrees of freedom is a measure of sample size. For other types of tests,
  degrees of freedom is sometimes N - 1, where N is the sample size. However,

  Args:
    v1: Variance of sample 1.
    v2: Variance of sample 2.
    n1: Size of sample 2.
    n2: Size of sample 2.

  Returns:
    An estimate of degrees of freedom. Must be at least 1.0.
  """
  # When there's no variance in either sample, return 1.
  if v1 == 0 and v2 == 0:
    return 1
  # If the sample size is too small, also return the minimum (1).
  if n1 <= 1 or n2 <= 2:
    return 1
  df = (((v1 / n1 + v2 / n2) ** 2) /
        ((v1 ** 2) / ((n1 ** 2) * (n1 - 1)) +
         (v2 ** 2) / ((n2 ** 2) * (n2 - 1))))
  return max(1, df)


# Below is a hard-coded table for looking up p-values.
#
# Normally, p-values are calculated based on the t-distribution formula.
# Looking up pre-calculated values is a less accurate but less complicated
# alternative.
#
# Reference: http://www.sjsu.edu/faculty/gerstman/StatPrimer/t-table.pdf

# A list of p-values for a two-tailed test. The entries correspond to to
# entries in the rows of the table below.
TWO_TAIL = [1, 0.20, 0.10, 0.05, 0.02, 0.01, 0.005, 0.002, 0.001]

# A map of degrees of freedom to lists of t-values. The index of the t-value
# can be used to look up the corresponding p-value.
TABLE = {
    1: [0, 3.078, 6.314, 12.706, 31.820, 63.657, 127.321, 318.309, 636.619],
    2: [0, 1.886, 2.920, 4.303, 6.965, 9.925, 14.089, 22.327, 31.599],
    3: [0, 1.638, 2.353, 3.182, 4.541, 5.841, 7.453, 10.215, 12.924],
    4: [0, 1.533, 2.132, 2.776, 3.747, 4.604, 5.598, 7.173, 8.610],
    5: [0, 1.476, 2.015, 2.571, 3.365, 4.032, 4.773, 5.893, 6.869],
    6: [0, 1.440, 1.943, 2.447, 3.143, 3.707, 4.317, 5.208, 5.959],
    7: [0, 1.415, 1.895, 2.365, 2.998, 3.499, 4.029, 4.785, 5.408],
    8: [0, 1.397, 1.860, 2.306, 2.897, 3.355, 3.833, 4.501, 5.041],
    9: [0, 1.383, 1.833, 2.262, 2.821, 3.250, 3.690, 4.297, 4.781],
    10: [0, 1.372, 1.812, 2.228, 2.764, 3.169, 3.581, 4.144, 4.587],
    11: [0, 1.363, 1.796, 2.201, 2.718, 3.106, 3.497, 4.025, 4.437],
    12: [0, 1.356, 1.782, 2.179, 2.681, 3.055, 3.428, 3.930, 4.318],
    13: [0, 1.350, 1.771, 2.160, 2.650, 3.012, 3.372, 3.852, 4.221],
    14: [0, 1.345, 1.761, 2.145, 2.625, 2.977, 3.326, 3.787, 4.140],
    15: [0, 1.341, 1.753, 2.131, 2.602, 2.947, 3.286, 3.733, 4.073],
    16: [0, 1.337, 1.746, 2.120, 2.584, 2.921, 3.252, 3.686, 4.015],
    17: [0, 1.333, 1.740, 2.110, 2.567, 2.898, 3.222, 3.646, 3.965],
    18: [0, 1.330, 1.734, 2.101, 2.552, 2.878, 3.197, 3.610, 3.922],
    19: [0, 1.328, 1.729, 2.093, 2.539, 2.861, 3.174, 3.579, 3.883],
    20: [0, 1.325, 1.725, 2.086, 2.528, 2.845, 3.153, 3.552, 3.850],
    21: [0, 1.323, 1.721, 2.080, 2.518, 2.831, 3.135, 3.527, 3.819],
    22: [0, 1.321, 1.717, 2.074, 2.508, 2.819, 3.119, 3.505, 3.792],
    23: [0, 1.319, 1.714, 2.069, 2.500, 2.807, 3.104, 3.485, 3.768],
    24: [0, 1.318, 1.711, 2.064, 2.492, 2.797, 3.090, 3.467, 3.745],
    25: [0, 1.316, 1.708, 2.060, 2.485, 2.787, 3.078, 3.450, 3.725],
    26: [0, 1.315, 1.706, 2.056, 2.479, 2.779, 3.067, 3.435, 3.707],
    27: [0, 1.314, 1.703, 2.052, 2.473, 2.771, 3.057, 3.421, 3.690],
    28: [0, 1.313, 1.701, 2.048, 2.467, 2.763, 3.047, 3.408, 3.674],
    29: [0, 1.311, 1.699, 2.045, 2.462, 2.756, 3.038, 3.396, 3.659],
    30: [0, 1.310, 1.697, 2.042, 2.457, 2.750, 3.030, 3.385, 3.646],
    31: [0, 1.309, 1.695, 2.040, 2.453, 2.744, 3.022, 3.375, 3.633],
    32: [0, 1.309, 1.694, 2.037, 2.449, 2.738, 3.015, 3.365, 3.622],
    33: [0, 1.308, 1.692, 2.035, 2.445, 2.733, 3.008, 3.356, 3.611],
    34: [0, 1.307, 1.691, 2.032, 2.441, 2.728, 3.002, 3.348, 3.601],
    35: [0, 1.306, 1.690, 2.030, 2.438, 2.724, 2.996, 3.340, 3.591],
    36: [0, 1.306, 1.688, 2.028, 2.434, 2.719, 2.991, 3.333, 3.582],
    37: [0, 1.305, 1.687, 2.026, 2.431, 2.715, 2.985, 3.326, 3.574],
    38: [0, 1.304, 1.686, 2.024, 2.429, 2.712, 2.980, 3.319, 3.566],
    39: [0, 1.304, 1.685, 2.023, 2.426, 2.708, 2.976, 3.313, 3.558],
    40: [0, 1.303, 1.684, 2.021, 2.423, 2.704, 2.971, 3.307, 3.551],
    42: [0, 1.302, 1.682, 2.018, 2.418, 2.698, 2.963, 3.296, 3.538],
    44: [0, 1.301, 1.680, 2.015, 2.414, 2.692, 2.956, 3.286, 3.526],
    46: [0, 1.300, 1.679, 2.013, 2.410, 2.687, 2.949, 3.277, 3.515],
    48: [0, 1.299, 1.677, 2.011, 2.407, 2.682, 2.943, 3.269, 3.505],
    50: [0, 1.299, 1.676, 2.009, 2.403, 2.678, 2.937, 3.261, 3.496],
    60: [0, 1.296, 1.671, 2.000, 2.390, 2.660, 2.915, 3.232, 3.460],
    70: [0, 1.294, 1.667, 1.994, 2.381, 2.648, 2.899, 3.211, 3.435],
    80: [0, 1.292, 1.664, 1.990, 2.374, 2.639, 2.887, 3.195, 3.416],
    90: [0, 1.291, 1.662, 1.987, 2.369, 2.632, 2.878, 3.183, 3.402],
    100: [0, 1.290, 1.660, 1.984, 2.364, 2.626, 2.871, 3.174, 3.391],
    120: [0, 1.289, 1.658, 1.980, 2.358, 2.617, 2.860, 3.160, 3.373],
    150: [0, 1.287, 1.655, 1.976, 2.351, 2.609, 2.849, 3.145, 3.357],
    200: [0, 1.286, 1.652, 1.972, 2.345, 2.601, 2.839, 3.131, 3.340],
    300: [0, 1.284, 1.650, 1.968, 2.339, 2.592, 2.828, 3.118, 3.323],
    500: [0, 1.283, 1.648, 1.965, 2.334, 2.586, 2.820, 3.107, 3.310],
}


def _LookupPValue(t, df):
  """Looks up a p-value in a t-distribution table.

  Args:
    t: A t statistic value; the result of a t-test.
    df: Number of degrees of freedom.

  Returns:
    A p-value, which represents the likelihood of obtaining a result at least
    as extreme as the one observed just by chance (the null hypothesis).
  """
  assert df >= 1, 'Degrees of freedom must be positive'

  # We ignore the negative sign on the t-value because our null hypothesis
  # is that the two samples are the same; our alternative hypothesis is that
  # the second sample is lesser OR greater than the first.
  t = abs(t)

  def GreatestSmaller(nums, target):
    """Returns the largest number that is <= the target number."""
    lesser_equal = [n for n in nums if n <= target]
    assert lesser_equal, 'No number in number list <= target.'
    return max(lesser_equal)

  df_key = GreatestSmaller(TABLE.keys(), df)
  t_table_row = TABLE[df_key]
  approximate_t_value = GreatestSmaller(t_table_row, t)
  t_value_index = t_table_row.index(approximate_t_value)

  return TWO_TAIL[t_value_index]