[R] P-values Kolmogorov–Smirnov test
Boo G.
g|@n|uc@@boo @end|ng |rom @oton@@c@uk
Thu Sep 5 21:51:03 CEST 2019
Hello and thanks for your patience.
As far as I understand, the paper of Marsiglia and colleagues refers to CDF samples (i.e. from a hypothetical distribution — e.g. a Poisson), while I have an ECDF sample (i.e. (pseudo-)observed data — e.g. rpois(1000, 500). In my study, I am actually comparing the statistical distribution of people per hectares in a region (~50,000 observations) with samples from that distribution.
Agree that we cannot consider at p-values for low sample size. Still, somewhere above 100, I expect to see p-values between 0 and 0.05 (rejecting the fact that the sample comes from the reference distribution). Ideally, I would try the procedure suggested by Marsiglia to compute p-values but this is far beyond my coding skills.
> On 5 Sep 2019, at 21:21, Rui Barradas <ruipbarradas using sapo.pt> wrote:
>
> Hello,
>
> Inline.
>
> Às 20:09 de 05/09/19, Boo G. escreveu:
>> Hello again.
>> I have tied this before but I see two problems:
>> 1) According to the documentation I could read (including the ks.test code), the ks statistic would be max(abs(x - y)) and if you plot this for very low sample sizes you can actually see that this make sense. The results of ks.test(x, y) yields very different values.
>
> The problem is that the distribution of Dn is very difficult to compute. From the reference [1] in the help page ?ks.test:
>
> Kolmogorov's goodness-of-fit measure, Dn , for a sample CDF has consistently been set aside for methods such as the D+n or D-n of Smirnov, primarily, it seems, because of the difficulty of computing the distribution of Dn . As far as we know, no easy way to compute that distribution has ever been provided in the 70+ years since Kolmogorov's fundamental paper. We provide one here, a C procedure that provides Pr(Dn < d) with 13-15 digit accuracy for n ranging from 2 to at least 16000.
>
>
> That is why I used ks.test and its Dn and p-values. Note that n >= 2, size = 1 is not covered (p-value == 1).
>
> Also, the p-values distribution seem to become closer to a uniform with increasing sizes. Try
>
> hist(d_stat[801:1000, 3])
>
>
> [1]https://eur03.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.jstatsoft.org%2Farticle%2Fview%2Fv008i18&data=01%7C01%7Cgianluca.boo%40soton.ac.uk%7Cfebe94a441914aa58a9908d732363a52%7C4a5378f929f44d3ebe89669d03ada9d8%7C0&sdata=JBHkkXn6G4oLQZCV7HoqBLO4a3sMixTa16kOVFwXPlY%3D&reserved=0
>
>
> Hope this helps,
>
> Rui Barradas
>
>> 2) Also in this case the p-values don’t make much sense, according to my previous interpretation.
>> Again, I could be wrong in my interpretation.
>>> On 5 Sep 2019, at 20:46, Rui Barradas <ruipbarradas using sapo.pt <mailto:ruipbarradas using sapo.pt>> wrote:
>>>
>>> Hello,
>>>
>>> I'm sorry, but apparently I missed the point of your problem.
>>> Please do not take my previous answer seriously.
>>>
>>> But you can use ks.test, just in a different way than what I wrote previously.
>>>
>>> Corrected code:
>>>
>>>
>>> #simulation
>>> for (i in 1:1000) {
>>> #sample from the reference distribution
>>> m_2 <-m_1[(sample(nrow(m_1), size=i, prob=p_1, replace=F)),]
>>> m_2 <-m_2[order(m_2$d_1),]
>>> d_2 <- m_2$d_1
>>> p_2 <- m_2$p_1
>>>
>>> #weighted ecdf for the reference distribution and the sample
>>> f_d_1 <- ewcdf(d_1, normalise=F)
>>> f_d_2 <- ewcdf(d_2, 1/p_2, normalise=F, adjust=1/length(d_2))
>>>
>>> #kolmogorov-smirnov distance
>>> x <- f_d_1(d_2)
>>> y <- f_d_2(d_2)
>>> ht <- ks.test(x, y)
>>> d_stat[i, 2] <- ht$statistic
>>> d_stat[i, 3] <- ht$p.value
>>> }
>>>
>>>
>>> Hope this helps,
>>>
>>> Rui Barradas
>>>
>>> Às 19:29 de 05/09/19, Rui Barradas escreveu:
>>>> Hello,
>>>> I don't have the algorithms at hand but the KS statistic calculation is more complicated than your max/abs difference.
>>>> Anyway, why not use ks.test? it's not that difficult:
>>>> set.seed(1234)
>>>> #reference distribution
>>>> d_1 <- sort(rpois(1000, 500))
>>>> p_1 <- d_1/sum(d_1)
>>>> m_1 <- data.frame(d_1, p_1)
>>>> #data frame to store the values of the simulation
>>>> d_stat <- data.frame(1:1000, NA, NA)
>>>> names(d_stat) <- c("sample_size", "ks_distance", "p_value")
>>>> #simulation
>>>> for (i in 1:1000) {
>>>> #sample from the reference distribution
>>>> m_2 <-m_1[(sample(nrow(m_1), size=i, prob=p_1, replace=F)),]
>>>> d_2 <- m_2$d_1
>>>> ht <- ks.test(d_1, d_2)
>>>> #kolmogorov-smirnov distance
>>>> d_stat[i, 2] <- ht$statistic
>>>> d_stat[i, 3] <- ht$p.value
>>>> }
>>>> hist(d_stat[, 2])
>>>> hist(d_stat[, 3])
>>>> Note that d_2 is not sorted, but the results are equal in the sense of function identical(), meaning they are *exactly* the same. Why shouldn't they?
>>>> Hope this helps,
>>>> Rui Barradas
>>>> Às 17:06 de 05/09/19, Boo G. escreveu:
>>>>> Hello,
>>>>>
>>>>> I am trying to perform a Kolmogorov–Smirnov test to assess the difference between a distribution and samples drawn proportionally to size of different sizes. I managed to compute the Kolmogorov–Smirnov distance but I am lost with the p-value. I have looked into the ks.test function unsuccessfully. Can anyone help me with computing p-values for a two-tailed test?
>>>>>
>>>>> Below a simplified version of my code.
>>>>>
>>>>> Thanks in advance.
>>>>> Gianluca
>>>>>
>>>>>
>>>>> library(spatstat)
>>>>>
>>>>> #reference distribution
>>>>> d_1 <- sort(rpois(1000, 500))
>>>>> p_1 <- d_1/sum(d_1)
>>>>> m_1 <- data.frame(d_1, p_1)
>>>>>
>>>>> #data frame to store the values of the siumation
>>>>> d_stat <- data.frame(1:1000, NA, NA)
>>>>> names(d_stat) <- c("sample_size", "ks_distance", "p_value")
>>>>>
>>>>> #simulation
>>>>> for (i in 1:1000) {
>>>>> #sample from the reference distribution
>>>>> m_2 <-m_1[(sample(nrow(m_1), size=i, prob=p_1, replace=F)),]
>>>>> m_2 <-m_2[order(m_2$d_1),]
>>>>> d_2 <- m_2$d_1
>>>>> p_2 <- m_2$p_1
>>>>>
>>>>> #weighted ecdf for the reference distribution and the sample
>>>>> f_d_1 <- ewcdf(d_1, normalise=F)
>>>>> f_d_2 <- ewcdf(d_2, 1/p_2, normalise=F, adjust=1/length(d_2))
>>>>>
>>>>> #kolmogorov-smirnov distance
>>>>> d_stat[i,2] <- max(abs(f_d_1(d_2) - f_d_2(d_2)))
>>>>> }
>>>>>
>>>>>
>>>>> [[alternative HTML version deleted]]
>>>>>
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