Student's t-test in Python

Imagine you have a given stochastic process, a function that makes random decisions, and that you want to calculate the average of a given quantity coming out of this process. One run of the process gives you one sample of the desired quantity. To estimate your average, you could then make a list of samples, and run the process again and again until the variance of this list is low enough. But what value of this "low" threshold is good when you don't even know the mean a priori?

Student's t-test provides an answer to this question using the unbiased estimator of the standard deviation. (If you do the math, you will note that it is not as simple as replacing the actual variance by its estimator in a Chebyshev inequality.) Here is how it codes in Python:

def student_test(samples, prec, confidence=0.9):
    Student's t-test.

    samples : list
        List of numbers generated from your stochastic process.
    prec : scalar
        Desired distance between the empirical and real mean.
    confidence : scalar
        Desired probability of correct answer.

    result : bool
        True if and only if your samples pass Student's t-test.
    assert 0. < confidence < 1.
    n = len(samples)
    sigma = std(samples)
    quantile = stats.t.ppf(confidence, n - 1)
    return quantile * sigma / sqrt(n) < prec

This function will return True when the empirical mean of your list of samples is less than prec away from the theoretical one (statistically, this is true under the hypothesis that all samples are i.i.d. and either follow a normal distribution or are numerous enough so that the law of large numbers applies). The confidence parameter tunes the tolerance to failure: when samples are drawn from a normal distribution, it sets exactly the probability that the tests returns a correct answer. Of course, higher values of prec or confidence tend to require more samples.

def run_until_good_mean_estimate(f):
    Generate samples from a stochastic process `f` until there are enough
    samples to provide a good estimate of the mean of `f()`.

    f : function
        Function with no argument returning a real number.

    samples : list
        List of return values from the stochastic process.
    prec, samples = 1., []
    while not student_test(samples, prec):
        mu = numpy.mean(samples)
        prec = mu / 100.
    print "Mean f(): %.2f +/- %.2f" % (mu, prec)
    return samples

Here, we fed back one percent of the empirical mean as precision parameter for Student's t-test. As a rule of thumb, when a better value for this parameter is not known a priori, this should yield a result with two significant digits of precision.


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