module Statsample module Test # # = U Mann-Whitney test # # Non-parametric test for assessing whether two independent samples # of observations come from the same distribution. # # == Assumptions # # * The two samples under investigation in the test are independent of each other and the observations within each sample are independent. # * The observations are comparable (i.e., for any two observations, one can assess whether they are equal or, if not, which one is greater). # * The variances in the two groups are approximately equal. # # Higher differences of distributions correspond to # to lower values of U. # class UMannWhitney # Max for m*n allowed for exact calculation of probability MAX_MN_EXACT=10000 # U sampling distribution, based on Dinneen & Blakesley (1973) algorithm. # This is the algorithm used on SPSS. # # Parameters: # * n1: group 1 size # * n2: group 2 size # == Reference: # * Dinneen, L., & Blakesley, B. (1973). Algorithm AS 62: A Generator for the Sampling Distribution of the Mann- Whitney U Statistic. Journal of the Royal Statistical Society, 22(2), 269-273 # def self.u_sampling_distribution_as62(n1,n2) freq=[] work=[] mn1=n1*n2+1 max_u=n1*n2 minmn=n1n2 ? n1 : n2 n1=maxmn+1 (1..n1).each{|i| freq[i]=1} n1+=1 (n1..mn1).each{|i| freq[i]=0} work[1]=0 xin=maxmn (2..minmn).each do |i| work[i]=0 xin=xin+maxmn n1=xin+2 l=1+xin.quo(2) k=i (1..l).each do |j| k=k+1 n1=n1-1 sum=freq[j]+work[j] freq[j]=sum work[k]=sum-freq[n1] freq[n1]=sum end end # Generate percentages for normal U dist=(1+max_u/2).to_i freq.shift total=freq.inject(0) {|a,v| a+v } (0...dist).collect {|i| if i!=max_u-i ues=freq[i]*2 else ues=freq[i] end ues.quo(total) } end # Generate distribution for permutations. # Very expensive, but useful for demostrations def self.distribution_permutations(n1,n2) base=[0]*n1+[1]*n2 po=Statsample::Permutation.new(base) total=n1*n2 req={} po.each do |perm| r0,s0=0,0 perm.each_index {|c_i| if perm[c_i]==0 r0+=c_i+1 s0+=1 end } u1=r0-((s0*(s0+1)).quo(2)) u2=total-u1 temp_u= (u1 <= u2) ? u1 : u2 req[perm]=temp_u end req end # Sample 1 Rank sum attr_reader :r1 # Sample 2 Rank sum attr_reader :r2 # Sample 1 U (useful for demostration) attr_reader :u1 # Sample 2 U (useful for demostration) attr_reader :u2 # U Value attr_reader :u # Value of compensation for ties (useful for demostration) attr_reader :t # Name of test attr_accessor :name include Summarizable # # Create a new U Mann-Whitney test # Params: Two Statsample::Vectors # def initialize(v1,v2, opts=Hash.new) @v1=v1 @v2=v2 @n1=v1.valid_data.size @n2=v2.valid_data.size data=(v1.valid_data+v2.valid_data).to_scale groups=(([0]*@n1)+([1]*@n2)).to_vector ds={'g'=>groups, 'data'=>data}.to_dataset @t=nil @ties=data.data.size!=data.data.uniq.size if(@ties) adjust_for_ties(ds['data']) end ds['ranked']=ds['data'].ranked(:scale) @n=ds.cases @r1=ds.filter{|r| r['g']==0}['ranked'].sum @r2=((ds.cases*(ds.cases+1)).quo(2))-r1 @u1=r1-((@n1*(@n1+1)).quo(2)) @u2=r2-((@n2*(@n2+1)).quo(2)) @u=(u1_("Mann-Whitney's U")} @opts=opts_default.merge(opts) opts_default.keys.each {|k| send("#{k}=", @opts[k]) } end def report_building(generator) # :nodoc: generator.section(:name=>@name) do |s| s.table(:name=>_("%s results") % @name) do |t| t.row([_("Sum of ranks %s") % @v1.name, "%0.3f" % @r1]) t.row([_("Sum of ranks %s") % @v2.name, "%0.3f" % @r2]) t.row([_("U Value"), "%0.3f" % @u]) t.row([_("Z"), "%0.3f (p: %0.3f)" % [z, probability_z]]) if @n1*@n2100000. # Uses u_sampling_distribution_as62 def probability_exact dist=UMannWhitney.u_sampling_distribution_as62(@n1,@n2) sum=0 (0..@u.to_i).each {|i| sum+=dist[i] } sum end # Adjunt for ties. # # == Reference: # * http://europe.isixsigma.com/library/content/c080806a.asp def adjust_for_ties(data) @t=data.frequencies.find_all{|k,v| v>1}.inject(0) {|a,v| a+(v[1]**3-v[1]).quo(12) } end private :adjust_for_ties # Z value for U, with adjust for ties. # For large samples, U is approximately normally distributed. # In that case, you can use z to obtain probabily for U. # == Reference: # * SPSS Manual def z mu=(@n1*@n2).quo(2) if(!@ties) ou=Math::sqrt(((@n1*@n2)*(@n1+@n2+1)).quo(12)) else n=@n1+@n2 first=(@n1*@n2).quo(n*(n-1)) second=((n**3-n).quo(12))-@t ou=Math::sqrt(first*second) end (@u-mu).quo(ou) end # Assuming H_0, the proportion of cdf with values of U lower # than the sample, using normal approximation. # Use with more than 30 cases per group. def probability_z (1-Distribution::Normal.cdf(z.abs()))*2 end end end end