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Statistics and Data Analysis Professor William Greene Stern School of Business IOMS Department Department of Economics Statistics and Data Analysis Part 22 – Statistical Tests: 1 35/42 The Power of a Test Procedure β = probability of a type II error. (Standard notation in statistics – yes, it does conflict with the standard notation for regression coefficients.) Power = 1 – β Sausage 5.8% 900000 800000 800000 600000 500000 400000 Mushroom 16.2% Plain 32.5% Scatterplot of Listing vs IncomePC 900000 Scatterplot of Listing vs IncomePC Normal - 95% CI 900000 Mean StDev N AD P-Value 95 90 500000 400000 200000 100000 15000 800000 700000 60 50 40 20000 22500 25000 IncomePC 27500 30000 32500 e mc 30 6 5 200000 2 1 100000 15000 400000 600000 Listing 800000 1000000 17500 20000 22500 25000 IncomePC 27500 Mean StDev N 369687 156865 51 80 8 4 200000 Normal 10 300000 0 Marginal Plot of Listing vs IncomePC Empirical CDF of Listing 100 12 500000 400000 10 17500 Histogram of Listing 14 2 600000 70 20 300000 200000 369687 156865 51 0.994 0.012 80 600000 300000 100000 Probability Plot of Listing 99 700000 700000 Listing Pepper and Onion 7.3% Boxplot of Listing Category Pepperoni Plain Mushroom Sausage Pepper and Onion Mushroom and Onion Garlic Meatball 30000 32500 0 1000000 60 800000 40 Listing Pepperoni 21.8% Listing Meatball Garlic 5.0% 2.3% Percent Pie Chart of Percent vs Type Mushroom and Onion 9.2% Power depends on what the true value is (remember, the null is false, so something else is true). Frequency Listing Power = The probability it will correctly reject a false hypothesis. A type II error occurs when you fail to reject a false hypothesis. Percent 20 600000 400000 0 0 200000 300000 400000 500000 600000 Listing 700000 800000 900000 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 10 20 30 40 50 60 70 80 90 Listing 200000 15000 20000 25000 IncomePC 30000 36/42 Power of the Test of a Mean x - 30,000 Reject H0 if 15035.4/ 13,444 > 1.96 or < -1.96 15035.4/ 13,444 = 129.67 x - 30,000 > 1.96 129.67 x > 30254.2 or < 29745.8 or or Rejection region. Rejection region. Probability = 0.025 Probability = 0.025 800000 800000 600000 500000 400000 Mushroom 16.2% Plain 32.5% Scatterplot of Listing vs IncomePC Normal - 95% CI 900000 Mean StDev N AD P-Value 95 700000 90 500000 400000 200000 100000 15000 800000 700000 60 50 40 20000 22500 25000 IncomePC 27500 30000 32500 e mc 30 6 5 200000 2 1 100000 15000 400000 600000 Listing 800000 1000000 17500 20000 22500 25000 IncomePC 27500 Mean StDev N 369687 156865 51 80 8 4 200000 Normal 10 300000 0 Marginal Plot of Listing vs IncomePC Empirical CDF of Listing 100 12 500000 400000 10 17500 Histogram of Listing 14 2 600000 70 20 300000 200000 369687 156865 51 0.994 0.012 80 600000 300000 100000 Probability Plot of Listing 99 30000 32500 Percent 900000 30254.2 Frequency Sausage 5.8% Scatterplot of Listing vs IncomePC 900000 700000 Listing Pepper and Onion 7.3% Boxplot of Listing Category Pepperoni Plain Mushroom Sausage Pepper and Onion Mushroom and Onion Garlic Meatball Listing Pepperoni 21.8% Listing Meatball Garlic 5.0% 2.3% Percent Pie Chart of Percent vs Type Mushroom and Onion 9.2% 30,000 0 1000000 60 800000 40 Listing 29745.2 20 600000 400000 0 0 200000 300000 400000 500000 600000 Listing 700000 800000 900000 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 10 20 30 40 50 60 70 80 90 Listing 200000 15000 20000 25000 IncomePC 30000 37/42 Power Against a Specific Alternative Reject H0 if x > 30254.2 or < 29745.8 Suppose the true mean is 30,150.0 Power = Prob[ x < 29745.8] + Prob[ x > 30254.2] 29745.8 - 30150 x - 30150 = P < 129.67 129.67 30254.2 - 30150 x - 30150 P > 129.67 129.67 = P[ z < -3.117 ] + P[ z > 0.804] = 0.00914 + 0.21070 = 0.21984. Interpret: If the true mean were 30,150, the probability that our test would correctly reject H0 : = 30,000 is 0.21984. 600000 500000 400000 Mushroom 16.2% Plain 32.5% Scatterplot of Listing vs IncomePC Normal - 95% CI 900000 Mean StDev N AD P-Value 95 700000 90 500000 400000 200000 100000 15000 800000 700000 60 50 40 20000 22500 25000 IncomePC 27500 30000 32500 e mc 30 6 5 200000 2 1 100000 15000 400000 600000 Listing 800000 1000000 17500 20000 22500 25000 IncomePC 27500 Mean StDev N 369687 156865 51 80 8 4 200000 Normal 10 300000 0 Marginal Plot of Listing vs IncomePC Empirical CDF of Listing 100 12 500000 400000 10 17500 Histogram of Listing 14 2 600000 70 20 300000 200000 369687 156865 51 0.994 0.012 80 600000 300000 100000 Probability Plot of Listing 99 30000 32500 0 1000000 60 800000 40 Listing 800000 800000 Percent 900000 Frequency Sausage 5.8% Scatterplot of Listing vs IncomePC 900000 700000 Listing Pepper and Onion 7.3% Boxplot of Listing Category Pepperoni Plain Mushroom Sausage Pepper and Onion Mushroom and Onion Garlic Meatball Listing Pepperoni 21.8% Listing Meatball Garlic 5.0% 2.3% Percent Pie Chart of Percent vs Type Mushroom and Onion 9.2% 20 600000 400000 0 0 200000 300000 400000 500000 600000 Listing 700000 800000 900000 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 10 20 30 40 50 60 70 80 90 Listing 200000 15000 20000 25000 IncomePC 30000 38/42 Power Function for the test of μ = $30,000 800000 800000 600000 500000 400000 Mushroom 16.2% Plain 32.5% Scatterplot of Listing vs IncomePC Normal - 95% CI 900000 Mean StDev N AD P-Value 95 700000 90 500000 400000 200000 100000 15000 800000 700000 60 50 40 20000 22500 25000 IncomePC 27500 30000 32500 e mc 30 6 5 200000 2 1 100000 15000 400000 600000 Listing 800000 1000000 17500 20000 22500 25000 IncomePC 27500 Mean StDev N 369687 156865 51 80 8 4 200000 Normal 10 300000 0 Marginal Plot of Listing vs IncomePC Empirical CDF of Listing 100 12 500000 400000 10 17500 Histogram of Listing 14 2 600000 70 20 300000 200000 369687 156865 51 0.994 0.012 80 600000 300000 100000 Probability Plot of Listing 99 30000 32500 Percent 900000 0 1000000 60 800000 40 Listing Sausage 5.8% Scatterplot of Listing vs IncomePC 900000 700000 Listing Pepper and Onion 7.3% Boxplot of Listing Category Pepperoni Plain Mushroom Sausage Pepper and Onion Mushroom and Onion Garlic Meatball Frequency Pepperoni 21.8% Listing Meatball Garlic 5.0% 2.3% Listing Pie Chart of Percent vs Type Mushroom and Onion 9.2% Power of Test .87 .77 .64 .49 .34 .21 .12 .07 .05 .07 .12 .21 .34 .49 .64 .77 .87 Percent Alternative $29,600 $29,650 $29,700 $29,750 $29,800 $29,850 $29,900 $29,950 $30,000 $30,050 $30,100 $30,150 $30,200 $30,250 $30,300 $30,350 $30,400 20 600000 400000 0 0 200000 300000 400000 500000 600000 Listing 700000 800000 900000 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 10 20 30 40 50 60 70 80 90 Listing 200000 15000 20000 25000 IncomePC 30000
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