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@jonathan-taylor
Last active September 3, 2015 04:53
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Which conditional test should I use?
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{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"metadata": {
"collapsed": false
},
"outputs": [],
"source": [
"import numpy as np\n",
"from selection.constraints.affine import constraints, gibbs_test\n",
"%load_ext rpy2.ipython"
]
},
{
"cell_type": "code",
"execution_count": 7,
"metadata": {
"collapsed": false
},
"outputs": [
{
"data": {
"text/plain": [
"(0.2895728486912888, 0.122875)"
]
},
"execution_count": 7,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"def instance(mu, gamma):\n",
" mu = np.asarray(mu)\n",
" assert(mu.shape == (2,)) # this is just a 2D example!\n",
" while True:\n",
" Z = mu + np.random.standard_normal(2)\n",
" omega = gamma * np.random.standard_normal(2)\n",
" W = Z + omega\n",
" if W[0] > W[1]:\n",
" break\n",
" \n",
" # conditioning on Z[1]\n",
" \n",
" A1 = np.array([[-1,1,-1,1.]])\n",
" b1 = np.array([0])\n",
" con1 = constraints(A1, b1, covariance=np.diag([1, 1, gamma**2, gamma**2]))\n",
" feasible1 = np.array([Z[0], Z[1], omega[0], omega[1]])\n",
" assert(con1(feasible1)) # constraints should be satisfied\n",
" conditional_con1 = con1.conditional(np.array([0,1.,0,0]), Z[1])\n",
" eta1 = np.array([1.,0,0,0])\n",
"\n",
" pval1 = gibbs_test(conditional_con1,\n",
" feasible1,\n",
" eta1,\n",
" burnin=2000,\n",
" ndraw=8000,\n",
" UMPU=False,\n",
" alternative='greater')[0]\n",
" \n",
" \n",
" # conditioning on Z[1] + omega[1]\n",
" \n",
" A2 = np.array([[-1,-1,1.]])\n",
" b2 = np.array([0.])\n",
" con2 = constraints(A2, b2, covariance=np.diag([1,gamma**2,1.+gamma**2]))\n",
" feasible2 = np.array([Z[0], omega[0], Z[1] + omega[1]])\n",
" assert(con2(feasible2))\n",
" conditional_con2 = con2.conditional(np.array([0,0,1.]), Z[1] + omega[1])\n",
" eta2 = np.array([1.,0,0])\n",
" \n",
" pval2 = gibbs_test(conditional_con2,\n",
" feasible2,\n",
" eta2,\n",
" burnin=2000,\n",
" ndraw=8000,\n",
" UMPU=False,\n",
" alternative='greater')[0]\n",
" \n",
" return pval1, pval2\n",
"\n",
"instance([1,1], 1)"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Null\n",
"\n",
"## They're both valid saturated tests"
]
},
{
"cell_type": "code",
"execution_count": 11,
"metadata": {
"collapsed": false
},
"outputs": [],
"source": [
"P0 = []\n",
"for _ in range(2000):\n",
" P0.append(instance([0,-1.], 0.5))\n",
"P0 = np.array(P0)"
]
},
{
"cell_type": "code",
"execution_count": 12,
"metadata": {
"collapsed": false
},
"outputs": [
{
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]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"%%R -i P0\n",
"plot(ecdf(P0[,1]), col='red')\n",
"plot(ecdf(P0[,2]), col='blue', add=TRUE)\n",
"abline(0,1)"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Alternative\n",
"\n",
"## But they are not the same\n",
"\n",
"### And my guess was wrong..."
]
},
{
"cell_type": "code",
"execution_count": 17,
"metadata": {
"collapsed": false
},
"outputs": [],
"source": [
"PA = []\n",
"for _ in range(2000):\n",
" PA.append(instance([1.5,-1], 0.9))\n",
"PA = np.array(PA)"
]
},
{
"cell_type": "code",
"execution_count": 18,
"metadata": {
"collapsed": false
},
"outputs": [
{
"data": {
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"RK5CYII=\n"
]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"%%R -i PA\n",
"plot(ecdf(PA[,1]), col='red')\n",
"plot(ecdf(PA[,2]), col='blue', add=TRUE)"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": []
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 2",
"name": "python2"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 2
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython2",
"version": "2.7.8"
}
},
"nbformat": 4,
"nbformat_minor": 0
}
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