introduction to data analysis

Introduction to Data Analysis

Probability

Confidence Intervals

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Today’s lecture

Some stuff on probability

Confidence intervals (A&F 5). Standard error (part 2) and efficiency. Confidence intervals for means. Confidence intervals for proportions.

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Last week’s aide memoire Population distribution

We don’t know this, but we want to know about it. In particular we normally want to know the mean.

Sample distribution We know this, and calculate the statistics such as the sample mean

and the sample standard deviation from it.

Sampling distribution This describes the variability in value of the sample means

amongst all the possible samples of a certain size. We can work this out from information about the sample

distribution and the fact that the sampling distribution is normal if sample size is large (ish).

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Random Variables

Flip a coin. Will it be heads or tails? The outcome of a single event is random, or

unpredictable What if we flip a coin 10 times? How many

will be heads and how many will be tails? Over time, patterns emerge from seemingly

random events. These allow us to make probability statements.

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Heads or Tails?

A coin toss is a random event [H or T] unpredictable on each toss but a stable pattern emerges of 50:50 after many repetitions.

The French naturalist, Buffon (1707-1788) tossed a coin 4040 times; resulting in 2048 heads for a relative frequency of 2048 /4040 = .5069

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Heads or Tails?

The English mathematician John Kerrich, while imprisoned by Germans in WWII, tossed a coin 5,000 times, with result 2534 heads . What is the Relative Frequency?

2,534 / 5,000 = .5068

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Heads or tails?

A computer simulation of 10,000 coin flips yields 5040 heads. What is the relative frequency of heads?

5040 / 10,000 = .5040

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Each of the tests is the result of a sample of fair coin tosses.

Sample outcomes vary. • Different samples produce different results.

True, but the law of large numbers tells us that the greater the number of repetitions the closer the outcomes come to the true probability, here .5.

A single event may be unpredictable but the relative frequency of these events is lawful over an infinite number of trials\repetitions.

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Random Variables "X" denotes a random variable. It is the outcome of a

sample of trials. “X,” some event, is unpredictable in the short run but

lawful over the long run. This “Randomness” is not necessarily unpredictable.

Over the long run X becomes probabilistically predictable.

We can never observe the "real" probability, since the "true" probability is a concept based on an infinite number of repetitions/trials. It is an "idealized" version of events

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To figure the odds of some event occurring you need 2 pieces of information:

1. A list of all the possibilities – all the possible outcomes (sample space)

2. The number of ways to get the outcome of interest (relative to the number of possible outcomes).

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Take a single Dice Roll

Assuming an evenly-weighted 6-sided dice, what are the odds of rolling a 3?

How do you know?6 possible outcomes (equally likely)1 way to get a 3p(Roll=3) = 1 / 6

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What are the chances of rolling numbers that add up to “4” when rolling two six-sided dice?

What do we need to know?All Possible Outcomes from rolling two diceOutcomes that would add up to 4

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How Many Ways can the Two Dice Fall?

Let’s say the dice are different colors (helps us keep track.

The White Dice could come out as:

We know how to figure out probabilities here, butWhat about the other dice?

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When the white die shows , there are six possible outcomes.

When the white die shows , there are six more possible outcomes.

We then just do that for all six possible outcomes on the white die

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Remember the Question: What is the probability of Rolling numbers that sum to 4?

What do we need to know? All Possible Outcomes from rolling two dice

(36--Check Previous Slide) How many outcomes would add up to 4?

Our Probability is 3/36 = .08333

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Probability = Frequency of Occurrence Total # outcomes

Frequency of occurrence = # of ways this one event could happen

Total # outcomes = # ways all the possible events could happen

Probability of a 7 is 6 ways out of 36 possibilities p=.166

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Frequency of Sum of 2 Dice 6 - * p = .167 - - 5 - p = .139 * * p = .139 F - R - E 4 - p =.111 * * p = .111 Q - U - E - N 3 - p=.083 * * p=.083 C - Y - 2 - * p=.056 p=.056 * - - 1 - * p=.027 p=.027 * --+----+----+----+----+----+----+----+----+----+----+ 2.0 4.0 6.0 8.0 10.0 12.0 SUM OF 2 DICE

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Review of Set Notation

Capital Letters sets of points Lower case letters represent elements of the

set For example:

A = {a1, a2, a3}

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Let S denote the full sample space (the set of all possible elements)

For two sets A and B, if every element of A is also an element in B, we say that A is a subset of B A B

S

BA

Subsets

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Union

The union of two arbitrary sets of points is the set of all points that are in at least one of the sets A B

A

S

B

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Intersection The intersection of two arbitrary sets of points

is the set of all points that are in both of the sets

A B

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Mutual Exclusivity

Two events are said to be disjoint or mutually exclusive if none of the elements in set A appear in set B.

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Independence We will give a more rigorous definition later,

but… Two events are independent if the occurrence of A

is unaffected by the occurrence or nonoccurrence of B.

Example: You flip a coin—what is the probability of heads?

You flip it 10 times, getting heads each time. What is the probability of getting heads again?

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Axioms for Probabilities

The conventional rules for probabilities are named the Kolmogorov Axioms. They are:1.

2.

3. If A1, A2, A3, … are pairwise mutually exclusive events in S, then:

( ) 0P A ( ) 1P S

1 2 3( ) ( )iP A A A P A

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Rules for Calculating Probabilities

Simple Additive rule for disjoint events a.k.a. the “or” rule

( ) ( ) ( )P A B P A P B

A

S

B

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Example:

One community is 75% white (non-hispanic), 10% black (non-hispanic), and 15% hispanic. They choose their mayor at random to maximize equality.

What is the probability that the next mayor will be non-white?

( ) ( ) ( )P Black Hispanic P Black P Hispanic ( ) .1 .15P Black Hispanic ( ) .25P Black Hispanic

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Simple Multiplicative rule for independent events a.k.a. the “and” rule

( ) ( )* ( )P A B P A P B

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Example:

Suppose in that same mythical community (75% white, 10% black, 15% Hispanic) there was an even division of males and females. What is the probability of a white male mayor?

( ) ( )* ( )P White Male P White P Male ( ) (.75)*(.5)P White Male ( ) .375P White Male

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The Complement Rule

( ) 1 ( )CP A P A

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Additive rule for events that are not mutually exclusive events

( ) ( ) ( ) ( )P A B P A P B P A B

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Multiplicative rule for conditional events

( ) ( ) ( | )P A B P A P B A

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But wait…

Now we know the rules for manipulating probabilities mathematically, but to get them, we need to calculate the sample space and the number of ways to get the outcome

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Tools for Counting Sample Spaces

Listing The mn rule Permutations (Pn

r)

Combinations (Cnr)

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Listing You are flipping 2 coins (this is one trial). List

the possible outcomes:HH TH

HT TT S = 4 You are flipping 3 coins:

THH HTT

HTH THT

HHH HHT TTH TTT

S = 8

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Listing

AdvantagesIntuitiveEasy (with a small sample space)

DisadvantagesHard to do with a large sample space

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The mn rule Think of the coin example—there are 2

possible outcomes for each coin, and 2 coins. Thus, there are 2 * 2 = 4 possible outcomes

Think of the dice example—there are 6 possible outcomes for each dice, and 2 dice. Thus, there are 6 * 6 = 36 possible outcomes

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The mnp rule ? It works for more than 2 dice/coins or

whatever too. Consider the 3 coin flips:2 * 2 * 2 = 23 = 8

This can be thought of as successive applications of the mn rule. First, you get the combinations of 2 coin flips

mn = 2 * 2 = 4 Then you get the combination of that sample

space with the 3rd coin(mn)*p = 4 * 2 = 8

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Complex Example

Assume that leap years don’t exist and there are thus just 365 possible birthdays.

We want to know the sample space for possible birthdays for 20 randomly drawn people.

How do we get it?

36520 = 1.76*1051

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Complex Example

Assuming that each birthday is equally likely, what is the probability of everyone having a January 1 Birthday?

What is the probability that everyone has the same birthday?

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1

365

20 19

365 1

365 365

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Complex Example

What is the probability that everyone has a different birthday?

For the first drawn person, there are 365 possible b-days because no one else has been drawn

For the second drawn person, there are 364 possible b-days because only 1 birthday has been drawn; for the third person it’s 363; fourth is 362…

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365*364*363* *346.589

365

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Permutations In some situations, we will be concerned with

the order in which sequences occur. An ordered arrangement of r objects is called a

permutation The number of possible permutations is denoted

as Our proof is based on our extension of the mn

rule in the last problem…

nrP

nrP

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We are interested in filling r positions with n distinct objects—no repeated values (selecting 20 people with 365 possible birthdays)

Permutations nrP

!

( 1)( 2)( 3)...( 1)!

nr

nP n n n n n r

n r

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Permutation Example

Think of a chain lock with a combination that requires 4 digits (0-9)

How many possible combinations are there?

4 6 2 0

10

4

10! 10! 10*9*8*7*6*5*4*3*2*1

10 4 ! 6! 6*5*4*3*2*1P

10*9*8*7 5040

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Combinations

In some situations, the ordering of the symbols in a set is unimportant—we only care what is included (not its position)

There will be fewer combinations than permutations—permutation counts HHT, HTH, and THH as being separate; combinations don’t consider the order, just the contents.

!

! ! !

nn rr

n P nC

r r r n r

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Example

A company selects five applicants for a “short list” for a job. They will actually interview just 2 candidates. How combinations of two applicants can be selected from the pool?

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5 5! 5!

2 2! 5 2 ! 2! 3 !C

5*4*3*2*1 5*4

5*2 102*1 * 3*2*1 2

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Example 2 A company receives 10 applications for a single

position. Being short on time, but good at combinatorics, the boss considers drawing two applications at random for interviews.

The boss wants to know the probability of getting exactly 1 of the two best applicants in his sample by random chance.

The probability of choosing one of the two best is given by

The probability of choosing one of the three worst is given by

2

1

3

1

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Example 2 We can then use the mn rule to figure out the

number of ways we can get both

In the last example we computed the number of possible combinations to be

Thus, the probability is 6 / 10 = .6

2 3 2! 3! 3 2 12 2 3 6

1 1 1!1! 1!2!1! 2 1

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5 5! 5!10

2 2! 5 2 ! 2! 3 !C

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Conditional Probability Under some circumstances the probability of

an event depends on another event. An unconditional probability asks what the

chances are of rain tomorrow (event A).

A conditional probability says, “Given that rained today (event B), what are the chances of rain tomorrow? (event A)”

P(A|B)

( )P A

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Computing Conditional Probabilities

( )( | )

( )

P B AP B A

P A

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Independence

Two events are said to be independent if

Otherwise, the events are dependent

( | ) ( )P A B P A

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Bayes’ Rule Suppose we knew P(B|A) but wanted to know

P(A|B)?

1

( ) ( | )( | )

( ) ( | )

j jj k

i ii

P B P A BP B A

P B P A B

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Example Suppose you have been tested positive for a disease;

what is the probability that you actually have the disease? Suppose the probability of having the disease is .01. The test is 95% accurate, and you tested positive. Do you have the disease?

We know:The probability of anyone having the disease (.01)The probability of testing positive for the disease

conditional on having the disease (.95) We want to know the probability of having the

disease if you tested positive for it…

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Bayes’ Rule( ) ( | )

( | )( ) ( | ) ( ) ( | )

P HaveIt P TestPos HaveItP HaveIt TestPos

P HaveIt P TestPos HaveIt P NoHaveIt P TestPos NoHaveIt

.01 .95( | )

.01 .95 .99 .05P HaveIt TestPos

.0095 .0095

( | ) .161.0095 .0495 .059

P HaveIt TestPos

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What? .161? Why so low?

Out of 100 people who take this test, we expect only 1 would have the disease.

However, 5 people would test positive even if they didn’t have the disease.

Out of those 6 people, only 1 actually has the disease…

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Political Application

In a certain population of voters, 40% are Republican and 60% are Democrats. It is reported that 30% of Republicans and 70% of Democrats support a particular issue. A randomly selected person is found to favor the issue—what is the conditional probability that they are a Democrat?

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Standard errors continued…

Last week we managed to work out some info about the distribution of sample means. If we have lots of samples then:

Mean of all the sample means = population mean. Shape of the distribution of sample means = normal. Standard error tells us how dispersed the distribution of

sample means is.

Put all these together, and we can finally work out how likely our sample mean is to be near the population mean.

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Churchgoing example

Let’s take a less contrived example than my car managing to break any speed limits.

This week I’m interested in the average number of times a year people go to church (or synagogue, or whatever).

I take a sample of 100 people and record the number of times they went to church last year. Some went a lot but most went infrequently.

So, from that sample I get a sample mean and a sample standard deviation.

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Church-going sample

0

10

20

30

40

50

60

0 10 20 30 40 50 60

Number of times per year

Freq

uenc

y

Sample mean = 8.5

Sample s.d. = 20

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Standard error Since we know the s.d. and mean of the sample, we can

calculate the standard error.

Because we know the standard error and the fact that the sampling distribution is normal, we are able to calculate how ‘likely’ it is that a specific range around our estimate contains the population mean.

We can calculate what’s called a confidence interval.

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Confidence intervals (1)

A confidence interval for an estimate is a range of numbers within which the parameter is ‘likely’ to fall.

Remember a parameter is something about the population, like the population mean.

We can use the standard error (and the fact that the sampling distribution is normal) to produce such a range.

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k is chosen to determine what is meant by ‘likely’ to contain the actual value of the population mean.

We want to pick a k that is meaningful to us. … and is not so large that the interval is useless. … but not so small that the interval is very unlikely to

contain the true population value.

)error standard(estimate k

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To return to our example, we have: An estimate of the population mean (the

mean number of days of church attendance) which is the sample mean (8 ½ days).

A standard error (2 days) which allows us to put a range around our estimate.

)2(8.5 k

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How do we pick k?

Imagine sampling repeatedly, and therefore getting lots of sample means.

Given what we know about the sampling distribution (i.e. it’s normal if n is large enough), we know what proportion of these sample means will fall within a certain number of standard errors of the actual population mean.

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Confidence coefficient Call this proportion the confidence coefficient.

If we picked .95 then we know that if we repeatedly sampled the population, that interval around each of the sample means would include the true value 95% of the time.

The confidence coefficient is a number that is chosen by the researcher which is close to 1, like 0.95 or 0.99.

Since the sampling distribution is normal, we know the values of k that correspond to the probability of any proportion.

So we know that approximately 95% of confidence intervals that are 2 standard errors either side of the sample mean will include the population mean.

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Back to church For our particular sample we calculate a 95%

confidence interval (i.e. k=2).

Imagine the population mean for churchgoing in Britain is actually 6 days a year.

So our particular sample is off by 2 ½ days a year. The mean of all the possible sample means is equal to the

population mean so the centre of the sampling distribution is 6.

45.8

)22(8.5

k

SE

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Sampling distribution (1)

0 1 2 3 4 5 6 7 8 9 10 11 12

Church-going (days a year)

Population mean = 6

Sample mean=8.5

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More samples

But that’s just our one sample, let’s imagine we took many samples, and then calculated 95% confidence intervals for all the sample means.

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0 1 2 3 4 5 6 7 8 9 10 11 12

Church-going (days a year)

Population mean = 6

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Of my 7 samples, all the confidence intervals around the sample mean enclosed the actual true population mean apart from one.

If we repeated this lots of times, we would expect 95% of the confidence intervals to enclose the actual population mean.

95% because that’s the confidence coefficient that we picked. If we had picked a confidence coefficient of 0.99, then it would be

99% and the confidence intervals would be larger.

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Confidence coefficients

To make things easier I’ve been rounding the numbers off, the exact figures for k at each confidence coefficient are slightly different.

Confidence coefficient k

68% 1.00

95% 1.96

99% 2.58

99.9% 3.29

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Smaller confidence intervals?

We could just be less certain. If I was willing to pick a 90% confidence interval then

the range of the interval would be narrower as k would be lower.

We would be wrong more often though…

We could increase the sample size. The bigger the sample size, the lower the standard error

and therefore the smaller the confidence interval for a given probability.

This isn’t always practical of course…

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Why 95%? Generally speaking in social science we pick 95% as

an appropriate confidence coefficient. A 1 in 20 chance of being wrong is generally felt to

be okay. Path dependency—Fisher integrated the normal PDF

for the 95% level, which is REALLY hard to do without a computer.

This isn’t always the case… Sometimes we want to be really sure we’ve enclosed the mean. Other times we want a narrower range and are willing to accept

that we are wrong more often.

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CIs for proportions

Since calculating the standard error is similar for proportions, so are producing confidence intervals.

Remember we need binary data coded a 0 and 1 (yes/no, men/women etc.)

Remember the standard error for proportions depends on the n and the sample proportion. So the CI is as below:

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Proportions example

Let’s take a political opinion poll in the US, we’re interested in the population proportion voting Democrat (call this π). Sample is 1000 people. Sample proportion is

0.45 (or 45%).

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Opinion polls

A lot of opinion polls use a sample size of about 1000 people, and aim to estimate proportions that are between 30% and 50%.

This is why you often see ‘margins of error’ that are 3% either side of an estimate quoted in newspapers; these are 95% confidence intervals.

Note that all these confidence intervals ignore non-sampling error.

What we call sampling bias, this could be due to non-response, badly worded questions and so forth.

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Exercise

If you were taking a political opinion poll, roughly how big a sample would you need to achieve a ‘margin of error’ (i.e. a 95% confidence interval) of:

2% either side of the estimate? 1% either side of the estimate?

(Assume that the sample proportion of interest is around 40%).

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Exercise answer

introduction to data analysis

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