[vset VERSION 1]
[manpage_begin math::statistics n [vset VERSION]]
[keywords {data analysis}]
[keywords mathematics]
[keywords statistics]
[moddesc {Tcl Math Library}]
[titledesc {Basic statistical functions and procedures}]
[category  Mathematics]
[require Tcl 8.4]
[require math::statistics [vset VERSION]]
[description]
[para]

The [package math::statistics] package contains functions and procedures for
basic statistical data analysis, such as:

[list_begin itemized]
[item]
Descriptive statistical parameters (mean, minimum, maximum, standard
deviation)

[item]
Estimates of the distribution in the form of histograms and quantiles

[item]
Basic testing of hypotheses

[item]
Probability and cumulative density functions

[list_end]
It is meant to help in developing data analysis applications or doing
ad hoc data analysis, it is not in itself a full application, nor is it
intended to rival with full (non-)commercial statistical packages.

[para]
The purpose of this document is to describe the implemented procedures
and provide some examples of their usage. As there is ample literature
on the algorithms involved, we refer to relevant text books for more
explanations.

The package contains a fairly large number of public procedures. They
can be distinguished in three sets: general procedures, procedures
that deal with specific statistical distributions, list procedures to
select or transform data and simple plotting procedures (these require
Tk).

[emph Note:] The data that need to be analyzed are always contained in a
simple list. Missing values are represented as empty list elements.

[section "GENERAL PROCEDURES"]
The general statistical procedures are:

[list_begin definitions]

[call [cmd ::math::statistics::mean] [arg data]]
Determine the [term mean] value of the given list of data.

[list_begin arguments]
[arg_def list data] - List of data
[list_end]
[para]

[call [cmd ::math::statistics::min] [arg data]]
Determine the [term minimum] value of the given list of data.

[list_begin arguments]
[arg_def list data] - List of data
[list_end]
[para]

[call [cmd ::math::statistics::max] [arg data]]
Determine the [term maximum] value of the given list of data.

[list_begin arguments]
[arg_def list data] - List of data
[list_end]
[para]

[call [cmd ::math::statistics::number] [arg data]]
Determine the [term number] of non-missing data in the given list

[list_begin arguments]
[arg_def list data] - List of data
[list_end]
[para]

[call [cmd ::math::statistics::stdev] [arg data]]
Determine the [term "sample standard deviation"] of the data in the
given list

[list_begin arguments]
[arg_def list data] - List of data
[list_end]
[para]

[call [cmd ::math::statistics::var] [arg data]]
Determine the [term "sample variance"] of the data in the given list

[list_begin arguments]
[arg_def list data] - List of data
[list_end]
[para]

[call [cmd ::math::statistics::pstdev] [arg data]]
Determine the [term "population standard deviation"] of the data
in the given list

[list_begin arguments]
[arg_def list data] - List of data
[list_end]
[para]

[call [cmd ::math::statistics::pvar] [arg data]]
Determine the [term "population variance"] of the data in the
given list

[list_begin arguments]
[arg_def list data] - List of data
[list_end]
[para]

[call [cmd ::math::statistics::median] [arg data]]
Determine the [term median] of the data in the given list
(Note that this requires sorting the data, which may be a
costly operation)

[list_begin arguments]
[arg_def list data] - List of data
[list_end]
[para]

[call [cmd ::math::statistics::basic-stats] [arg data]]
Determine a list of all the descriptive parameters: mean, minimum,
maximum, number of data, sample standard deviation, sample variance,
population standard deviation and population variance.
[para]
(This routine is called whenever either or all of the basic statistical
parameters are required. Hence all calculations are done and the
relevant values are returned.)

[list_begin arguments]
[arg_def list data] - List of data
[list_end]
[para]

[call [cmd ::math::statistics::histogram] [arg limits] [arg values] [opt weights]]
Determine histogram information for the given list of data. Returns a
list consisting of the number of values that fall into each interval.
(The first interval consists of all values lower than the first limit,
the last interval consists of all values greater than the last limit.
There is one more interval than there are limits.)
[para]
Optionally, you can use weights to influence the histogram.

[list_begin arguments]
[arg_def list limits] - List of upper limits (in ascending order) for the
intervals of the histogram.
[arg_def list values] - List of data
[arg_def list weights] - List of weights, one weight per value
[list_end]
[para]

[call [cmd ::math::statistics::histogram-alt] [arg limits] [arg values] [opt weights]]
Alternative implementation of the histogram procedure: the open end of the intervals
is at the lower bound instead of the upper bound.

[list_begin arguments]
[arg_def list limits] - List of upper limits (in ascending order) for the
intervals of the histogram.
[arg_def list values] - List of data
[arg_def list weights] - List of weights, one weight per value
[list_end]
[para]

[call [cmd ::math::statistics::corr] [arg data1] [arg data2]]
Determine the correlation coefficient between two sets of data.

[list_begin arguments]
[arg_def list data1] - First list of data
[arg_def list data2] - Second list of data
[list_end]
[para]

[call [cmd ::math::statistics::interval-mean-stdev] [arg data] [arg confidence]]
Return the interval containing the mean value and one
containing the standard deviation with a certain
level of confidence (assuming a normal distribution)

[list_begin arguments]
[arg_def list data] - List of raw data values (small sample)
[arg_def float confidence] - Confidence level (0.95 or 0.99 for instance)
[list_end]
[para]

[call [cmd ::math::statistics::t-test-mean] [arg data] [arg est_mean] \
[arg est_stdev] [arg alpha]]
Test whether the mean value of a sample is in accordance with the
estimated normal distribution with a certain probability.
Returns 1 if the test succeeds or 0 if the mean is unlikely to fit
the given distribution.

[list_begin arguments]
[arg_def list data] - List of raw data values (small sample)
[arg_def float est_mean] - Estimated mean of the distribution
[arg_def float est_stdev] - Estimated stdev of the distribution
[arg_def float alpha] - Probability level (0.95 or 0.99 for instance)
[list_end]
[para]

[call [cmd ::math::statistics::test-normal] [arg data] [arg significance]]
Test whether the given data follow a normal distribution
with a certain level of significance.
Returns 1 if the data are normally distributed within the level of
significance, returns 0 if not. The underlying test is the Lilliefors
test. Smaller values of the significance mean a stricter testing.

[list_begin arguments]
[arg_def list data] - List of raw data values
[arg_def float significance] - Significance level (one of 0.01, 0.05, 0.10, 0.15 or 0.20). For compatibility
reasons the values "1-significance", 0.80, 0.85, 0.90, 0.95 or 0.99 are also accepted.
[list_end]
[para]
Compatibility issue: the original implementation and documentation used the term "confidence" and used a value
1-significance (see ticket 2812473fff). This has been corrected as of version 0.9.3.

[call [cmd ::math::statistics::lillieforsFit] [arg data]]
Returns the goodness of fit to a normal distribution according to
Lilliefors. The higher the number, the more likely the data are indeed
normally distributed. The test requires at least [emph five] data
points.

[list_begin arguments]
[arg_def list data] - List of raw data values
[list_end]
[para]


[call [cmd ::math::statistics::test-Duckworth] [arg list1] [arg list2] [arg significance]]
Determine if two data sets have the same median according to the Tukey-Duckworth test.
The procedure returns 0 if the medians are unequal, 1 if they are equal, -1 if the test can not
be conducted (the smallest value must be in a different set than the greatest value).
#
# Arguments:
#     list1           Values in the first data set
#     list2           Values in the second data set
#     significance    Significance level (either 0.05, 0.01 or 0.001)
#
# Returns:

Test whether the given data follow a normal distribution
with a certain level of significance.
Returns 1 if the data are normally distributed within the level of
significance, returns 0 if not. The underlying test is the Lilliefors
test. Smaller values of the significance mean a stricter testing.

[list_begin arguments]
[arg_def list list1] - First list of data
[arg_def list list2] - Second list of data
[arg_def float significance] - Significance level (either 0.05, 0.01 or 0.001)
[list_end]
[para]

[call [cmd ::math::statistics::quantiles] [arg data] [arg confidence]]
Return the quantiles for a given set of data
[list_begin arguments]
[para]
[arg_def list data] - List of raw data values
[para]
[arg_def float confidence] - Confidence level (0.95 or 0.99 for instance) or a list of confidence levels.
[para]
[list_end]
[para]

[call [cmd ::math::statistics::quantiles] [arg limits] [arg counts] [arg confidence]]
Return the quantiles based on histogram information (alternative to the
call with two arguments)
[list_begin arguments]
[arg_def list limits] - List of upper limits from histogram
[arg_def list counts] - List of counts for for each interval in histogram
[arg_def float confidence] -  Confidence level (0.95 or 0.99 for instance) or a list of confidence levels.
[list_end]
[para]

[call [cmd ::math::statistics::autocorr] [arg data]]
Return the autocorrelation function as a list of values (assuming
equidistance between samples, about 1/2 of the number of raw data)
[para]
The correlation is determined in such a way that the first value is
always 1 and all others are equal to or smaller than 1. The number of
values involved will diminish as the "time" (the index in the list of
returned values) increases
[list_begin arguments]
[arg_def list data] - Raw data for which the autocorrelation must be determined
[list_end]
[para]

[call [cmd ::math::statistics::crosscorr] [arg data1] [arg data2]]
Return the cross-correlation function as a list of values (assuming
equidistance between samples, about 1/2 of the number of raw data)
[para]
The correlation is determined in such a way that the values can never
exceed 1 in magnitude. The number of values involved will diminish
as the "time" (the index in the list of returned values) increases.
[list_begin arguments]
[arg_def list data1] - First list of data
[arg_def list data2] - Second list of data
[list_end]
[para]

[call [cmd ::math::statistics::mean-histogram-limits] [arg mean] \
[arg stdev] [arg number]]
Determine reasonable limits based on mean and standard deviation
for a histogram
Convenience function - the result is suitable for the histogram function.

[list_begin arguments]
[arg_def float mean] - Mean of the data
[arg_def float stdev] - Standard deviation
[arg_def int number] - Number of limits to generate (defaults to 8)
[list_end]
[para]

[call [cmd ::math::statistics::minmax-histogram-limits] [arg min] \
[arg max] [arg number]]
Determine reasonable limits based on a minimum and maximum for a histogram
[para]
Convenience function - the result is suitable for the histogram function.
[list_begin arguments]
[arg_def float min] - Expected minimum
[arg_def float max] - Expected maximum
[arg_def int number] - Number of limits to generate (defaults to 8)
[list_end]
[para]

[call [cmd ::math::statistics::linear-model] [arg xdata] \
[arg ydata] [arg intercept]]
Determine the coefficients for a linear regression between
two series of data (the model: Y = A + B*X). Returns a list of
parameters describing the fit

[list_begin arguments]
[arg_def list xdata] - List of independent data
[arg_def list ydata] - List of dependent data to be fitted
[arg_def boolean intercept] - (Optional) compute the intercept (1, default) or fit
to a line through the origin (0)
[para]
The result consists of the following list:
[list_begin itemized]
[item]
(Estimate of) Intercept A
[item]
(Estimate of) Slope B
[item]
Standard deviation of Y relative to fit
[item]
Correlation coefficient R2
[item]
Number of degrees of freedom df
[item]
Standard error of the intercept A
[item]
Significance level of A
[item]
Standard error of the slope B
[item]
Significance level of B
[list_end]
[list_end]
[para]

[call [cmd ::math::statistics::linear-residuals] [arg xdata] [arg ydata] \
[arg intercept]]
Determine the difference between actual data and predicted from
the linear model.
[para]
Returns a list of the differences between the actual data and the
predicted values.
[list_begin arguments]
[arg_def list xdata] - List of independent data
[arg_def list ydata] - List of dependent data to be fitted
[arg_def boolean intercept] - (Optional) compute the intercept (1, default) or fit
to a line through the origin (0)
[list_end]
[para]

[call [cmd ::math::statistics::test-2x2] [arg n11] [arg n21] [arg n12] [arg n22]]
Determine if two set of samples, each from a binomial distribution,
differ significantly or not (implying a different parameter).
[para]
Returns the "chi-square" value, which can be used to the determine the
significance.
[list_begin arguments]
[arg_def int n11] - Number of outcomes with the first value from the first sample.
[arg_def int n21] - Number of outcomes with the first value from the second sample.
[arg_def int n12] - Number of outcomes with the second value from the first sample.
[arg_def int n22] - Number of outcomes with the second value from the second sample.
[list_end]
[para]

[call [cmd ::math::statistics::print-2x2] [arg n11] [arg n21] [arg n12] [arg n22]]
Determine if two set of samples, each from a binomial distribution,
differ significantly or not (implying a different parameter).
[para]
Returns a short report, useful in an interactive session.
[list_begin arguments]
[arg_def int n11] - Number of outcomes with the first value from the first sample.
[arg_def int n21] - Number of outcomes with the first value from the second sample.
[arg_def int n12] - Number of outcomes with the second value from the first sample.
[arg_def int n22] - Number of outcomes with the second value from the second sample.
[list_end]
[para]

[call [cmd ::math::statistics::control-xbar] [arg data] [opt nsamples]]
Determine the control limits for an xbar chart. The number of data
in each subsample defaults to 4. At least 20 subsamples are required.
[para]
Returns the mean, the lower limit, the upper limit and the number of
data per subsample.

[list_begin arguments]
[arg_def list data] - List of observed data
[arg_def int nsamples] - Number of data per subsample
[list_end]
[para]

[call [cmd ::math::statistics::control-Rchart] [arg data] [opt nsamples]]
Determine the control limits for an R chart. The number of data
in each subsample (nsamples) defaults to 4. At least 20 subsamples are required.
[para]
Returns the mean range, the lower limit, the upper limit and the number
of data per subsample.

[list_begin arguments]
[arg_def list data] - List of observed data
[arg_def int nsamples] - Number of data per subsample
[list_end]
[para]

[call [cmd ::math::statistics::test-xbar] [arg control] [arg data]]
Determine if the data exceed the control limits for the xbar chart.
[para]
Returns a list of subsamples (their indices) that indeed violate the
limits.

[list_begin arguments]
[arg_def list control] - Control limits as returned by the "control-xbar" procedure
[arg_def list data] - List of observed data
[list_end]
[para]

[call [cmd ::math::statistics::test-Rchart] [arg control] [arg data]]
Determine if the data exceed the control limits for the R chart.
[para]
Returns a list of subsamples (their indices) that indeed violate the
limits.
[list_begin arguments]
[arg_def list control] - Control limits as returned by the "control-Rchart" procedure
[arg_def list data] - List of observed data
[list_end]
[para]

[call [cmd ::math::statistics::test-Kruskal-Wallis] [arg confidence] [arg args]]
Check if the population medians of two or more groups are equal with a
given confidence level, using the Kruskal-Wallis test.

[list_begin arguments]
[arg_def float confidence] - Confidence level to be used (0-1)
[arg_def list args] - Two or more lists of data
[list_end]
[para]

[call [cmd ::math::statistics::analyse-Kruskal-Wallis] [arg args]]
Compute the statistical parameters for the Kruskal-Wallis test.
Returns the Kruskal-Wallis statistic and the probability that that
value would occur assuming the medians of the populations are
equal.

[list_begin arguments]
[arg_def list args] - Two or more lists of data
[list_end]
[para]

[call [cmd ::math::statistics::group-rank] [arg args]]
Rank the groups of data with respect to the complete set.
Returns a list consisting of the group ID, the value and the rank
(possibly a rational number, in case of ties) for each data item.

[list_begin arguments]
[arg_def list args] - Two or more lists of data
[list_end]
[para]

[call [cmd ::math::statistics::test-Wilcoxon] [arg sample_a] [arg sample_b]]
Compute the Wilcoxon test statistic to determine if two samples have the
same median or not. (The statistic can be regarded as standard normal, if the
sample sizes are both larger than 10. Returns the value of this statistic.

[list_begin arguments]
[arg_def list sample_a] - List of data comprising the first sample
[arg_def list sample_b] - List of data comprising the second sample
[list_end]
[para]

[call [cmd ::math::statistics::spearman-rank] [arg sample_a] [arg sample_b]]
Return the Spearman rank correlation as an alternative to the ordinary (Pearson's) correlation
coefficient. The two samples should have the same number of data.

[list_begin arguments]
[arg_def list sample_a] - First list of data
[arg_def list sample_b] - Second list of data
[list_end]
[para]

[call [cmd ::math::statistics::spearman-rank-extended] [arg sample_a] [arg sample_b]]
Return the Spearman rank correlation as an alternative to the ordinary (Pearson's) correlation
coefficient as well as additional data. The two samples should have the same number of data.
The procedure returns the correlation coefficient, the number of data pairs used and the
z-score, an approximately standard normal statistic, indicating the significance of the correlation.

[list_begin arguments]
[arg_def list sample_a] - First list of data
[arg_def list sample_b] - Second list of data
[list_end]

[call [cmd ::math::statistics::kernel-density] [arg data] opt [arg "-option value"] ...]]
Return the density function based on kernel density estimation. The procedure is controlled by
a small set of options, each of which is given a reasonable default.
[para]
The return value consists of three lists: the centres of the bins, the associated probability
density and a list of computational parameters (begin and end of the interval, mean and standard
deviation and the used bandwidth). The computational parameters can be used for further analysis.

[list_begin arguments]
[arg_def list data] - The data to be examined
[arg_def list args] - Option-value pairs:
[list_begin definitions]
[def "[option -weights] [arg weights]"]  Per data point the weight (default: 1 for all data)
[def "[option -bandwidth] [arg value]"]  Bandwidth to be used for the estimation (default: determined from standard deviation)
[def "[option -number] [arg value]"]  Number of bins to be returned (default: 100)
[def "[option -interval] [arg "{begin end}"]"]  Begin and end of the interval for
which the density is returned (default: mean +/- 3*standard deviation)
[def "[option -kernel] [arg function]"]  Kernel to be used (One of: gaussian, cosine,
epanechnikov, uniform, triangular, biweight, logistic; default: gaussian)
[list_end]
[list_end]

[list_end]

[section "MULTIVARIATE LINEAR REGRESSION"]

Besides the linear regression with a single independent variable, the
statistics package provides two procedures for doing ordinary
least squares (OLS) and weighted least squares (WLS) linear regression
with several variables. They were written by Eric Kemp-Benedict.

[para]
In addition to these two, it provides a procedure (tstat)
for calculating the value of the t-statistic for the specified number of
degrees of freedom that is required to demonstrate a given level of
significance.

[para]
Note: These procedures depend on the math::linearalgebra package.

[para]
[emph "Description of the procedures"]

[list_begin definitions]
[call [cmd ::math::statistics::tstat] [arg dof] [opt alpha]]
Returns the value of the t-distribution t* satisfying

[example {
    P(t*)  =  1 - alpha/2
    P(-t*) =  alpha/2
}]
for the number of degrees of freedom dof.
[para]
Given a sample of normally-distributed data x, with an
estimate xbar for the mean and sbar for the standard deviation,
the alpha confidence interval for the estimate of the mean can
be calculated as
[example {
      ( xbar - t* sbar , xbar + t* sbar)
}]
The return values from this procedure can be compared to
an estimated t-statistic to determine whether the estimated
value of a parameter is significantly different from zero at
the given confidence level.

[list_begin arguments]
[arg_def int dof]
Number of degrees of freedom

[arg_def float alpha]
Confidence level of the t-distribution. Defaults to 0.05.

[list_end]
[para]

[call [cmd ::math::statistics::mv-wls] [arg wt1] [arg weights_and_values]]
Carries out a weighted least squares linear regression for
the data points provided, with weights assigned to each point.

[para]
The linear model is of the form

[example {
    y = b0 + b1 * x1 + b2 * x2 ... + bN * xN + error
}]
and each point satisfies
[example {
    yi = b0 + b1 * xi1 + b2 * xi2 + ... + bN * xiN + Residual_i
}]
[para]
The procedure returns a list with the following elements:
[list_begin itemized]
[item]
The r-squared statistic
[item]
The adjusted r-squared statistic
[item]
A list containing the estimated coefficients b1, ... bN, b0
(The constant b0 comes last in the list.)
[item]
A list containing the standard errors of the coefficients
[item]
A list containing the 95% confidence bounds of the coefficients,
with each set of bounds returned as a list with two values
[list_end]

Arguments:
[list_begin arguments]
[arg_def list weights_and_values]
A list consisting of: the weight for the first observation, the data
for the first observation (as a sublist), the weight for the second
observation (as a sublist) and so on. The sublists of data are organised
as lists of the value of the dependent variable y and the independent
variables x1, x2 to xN.

[list_end]
[para]

[call [cmd ::math::statistics::mv-ols] [arg values]]
Carries out an ordinary least squares linear regression for
the data points provided.

[para]
This procedure simply calls ::mvlinreg::wls with the weights
set to 1.0, and returns the same information.

[list_end]

[emph "Example of the use:"]
[example {
# Store the value of the unicode value for the "+/-" character
set pm "\u00B1"

# Provide some data
set data {{  -.67  14.18  60.03 -7.5  }
          { 36.97  15.52  34.24 14.61 }
          {-29.57  21.85  83.36 -7.   }
          {-16.9   11.79  51.67 -6.56 }
          { 14.09  16.24  36.97 -12.84}
          { 31.52  20.93  45.99 -25.4 }
          { 24.05  20.69  50.27  17.27}
          { 22.23  16.91  45.07  -4.3 }
          { 40.79  20.49  38.92  -.73 }
          {-10.35  17.24  58.77  18.78}}

# Call the ols routine
set results [::math::statistics::mv-ols $data]

# Pretty-print the results
puts "R-squared: [lindex $results 0]"
puts "Adj R-squared: [lindex $results 1]"
puts "Coefficients $pm s.e. -- \[95% confidence interval\]:"
foreach val [lindex $results 2] se [lindex $results 3] bounds [lindex $results 4] {
    set lb [lindex $bounds 0]
    set ub [lindex $bounds 1]
    puts "   $val $pm $se -- \[$lb to $ub\]"
}
}]

[section "STATISTICAL DISTRIBUTIONS"]
In the literature a large number of probability distributions can be
found. The statistics package supports:
[list_begin itemized]
[item]
The normal or Gaussian distribution as well as the log-normal distribution
[item]
The uniform distribution - equal probability for all data within a given
interval
[item]
The exponential distribution - useful as a model for certain
extreme-value distributions.
[item]
The gamma distribution - based on the incomplete Gamma integral
[item]
The beta distribution
[item]
The chi-square distribution
[item]
The student's T distribution
[item]
The Poisson distribution
[item]
The Pareto distribution
[item]
The Gumbel distribution
[item]
The Weibull distribution
[item]
The Cauchy distribution
[item]
PM - binomial,F.
[list_end]

In principle for each distribution one has procedures for:
[list_begin itemized]
[item]
The probability density (pdf-*)
[item]
The cumulative density (cdf-*)
[item]
Quantiles for the given distribution (quantiles-*)
[item]
Histograms for the given distribution (histogram-*)
[item]
List of random values with the given distribution (random-*)
[list_end]

The following procedures have been implemented:

[list_begin definitions]

[call [cmd ::math::statistics::pdf-normal] [arg mean] [arg stdev] [arg value]]
Return the probability of a given value for a normal distribution with
given mean and standard deviation.

[list_begin arguments]
[arg_def float mean] - Mean value of the distribution
[arg_def float stdev] - Standard deviation of the distribution
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::pdf-lognormal] [arg mean] [arg stdev] [arg value]]
Return the probability of a given value for a log-normal distribution with
given mean and standard deviation.

[list_begin arguments]
[arg_def float mean] - Mean value of the distribution
[arg_def float stdev] - Standard deviation of the distribution
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::pdf-exponential] [arg mean] [arg value]]
Return the probability of a given value for an exponential
distribution with given mean.

[list_begin arguments]
[arg_def float mean] - Mean value of the distribution
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::pdf-uniform] [arg xmin] [arg xmax] [arg value]]
Return the probability of a given value for a uniform
distribution with given extremes.

[list_begin arguments]
[arg_def float xmin] - Minimum value of the distribution
[arg_def float xmin] - Maximum value of the distribution
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::pdf-gamma] [arg alpha] [arg beta] [arg value]]
Return the probability of a given value for a Gamma
distribution with given shape and rate parameters

[list_begin arguments]
[arg_def float alpha] - Shape parameter
[arg_def float beta] - Rate parameter
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::pdf-poisson] [arg mu] [arg k]]
Return the probability of a given number of occurrences in the same
interval (k) for a Poisson distribution with given mean (mu)

[list_begin arguments]
[arg_def float mu] - Mean number of occurrences
[arg_def int k] - Number of occurences
[list_end]
[para]

[call [cmd ::math::statistics::pdf-chisquare] [arg df] [arg value]]
Return the probability of a given value for a chi square
distribution with given degrees of freedom

[list_begin arguments]
[arg_def float df] - Degrees of freedom
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::pdf-student-t] [arg df] [arg value]]
Return the probability of a given value for a Student's t
distribution with given degrees of freedom

[list_begin arguments]
[arg_def float df] - Degrees of freedom
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::pdf-gamma] [arg a] [arg b] [arg value]]
Return the probability of a given value for a Gamma
distribution with given shape and rate parameters

[list_begin arguments]
[arg_def float a] - Shape parameter
[arg_def float b] - Rate parameter
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::pdf-beta] [arg a] [arg b] [arg value]]
Return the probability of a given value for a Beta
distribution with given shape parameters

[list_begin arguments]
[arg_def float a] - First shape parameter
[arg_def float b] - Second shape parameter
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::pdf-weibull] [arg scale] [arg shape] [arg value]]
Return the probability of a given value for a Weibull
distribution with given scale and shape parameters

[list_begin arguments]
[arg_def float location] - Scale parameter
[arg_def float scale] - Shape parameter
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::pdf-gumbel] [arg location] [arg scale] [arg value]]
Return the probability of a given value for a Gumbel
distribution with given location and shape parameters

[list_begin arguments]
[arg_def float location] - Location parameter
[arg_def float scale] - Shape parameter
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::pdf-pareto] [arg scale] [arg shape] [arg value]]
Return the probability of a given value for a Pareto
distribution with given scale and shape parameters

[list_begin arguments]
[arg_def float scale] - Scale parameter
[arg_def float shape] - Shape parameter
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::pdf-cauchy] [arg location] [arg scale] [arg value]]
Return the probability of a given value for a Cauchy
distribution with given location and shape parameters. Note that the Cauchy distribution
has no finite higher-order moments.

[list_begin arguments]
[arg_def float location] - Location parameter
[arg_def float scale] - Shape parameter
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::cdf-normal] [arg mean] [arg stdev] [arg value]]
Return the cumulative probability of a given value for a normal
distribution with given mean and standard deviation, that is the
probability for values up to the given one.

[list_begin arguments]
[arg_def float mean] - Mean value of the distribution
[arg_def float stdev] - Standard deviation of the distribution
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::cdf-lognormal] [arg mean] [arg stdev] [arg value]]
Return the cumulative probability of a given value for a log-normal
distribution with given mean and standard deviation, that is the
probability for values up to the given one.

[list_begin arguments]
[arg_def float mean] - Mean value of the distribution
[arg_def float stdev] - Standard deviation of the distribution
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::cdf-exponential] [arg mean] [arg value]]
Return the cumulative probability of a given value for an exponential
distribution with given mean.

[list_begin arguments]
[arg_def float mean] - Mean value of the distribution
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::cdf-uniform] [arg xmin] [arg xmax] [arg value]]
Return the cumulative probability of a given value for a uniform
distribution with given extremes.

[list_begin arguments]
[arg_def float xmin] - Minimum value of the distribution
[arg_def float xmin] - Maximum value of the distribution
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::cdf-students-t] [arg degrees] [arg value]]
Return the cumulative probability of a given value for a Student's t
distribution with given number of degrees.
[list_begin arguments]
[arg_def int degrees] - Number of degrees of freedom
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::cdf-gamma] [arg alpha] [arg beta] [arg value]]
Return the cumulative probability of a given value for a Gamma
distribution with given shape and rate parameters.

[list_begin arguments]
[arg_def float alpha] - Shape parameter
[arg_def float beta] - Rate parameter
[arg_def float value] - Value for which the cumulative probability is required
[list_end]
[para]

[call [cmd ::math::statistics::cdf-poisson] [arg mu] [arg k]]
Return the cumulative probability of a given number of occurrences in
the same interval (k) for a Poisson distribution with given mean (mu).

[list_begin arguments]
[arg_def float mu] - Mean number of occurrences
[arg_def int k] - Number of occurences
[list_end]
[para]

[call [cmd ::math::statistics::cdf-beta] [arg a] [arg b] [arg value]]
Return the cumulative probability of a given value for a Beta
distribution with given shape parameters

[list_begin arguments]
[arg_def float a] - First shape parameter
[arg_def float b] - Second shape parameter
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::cdf-weibull] [arg scale] [arg shape] [arg value]]
Return the cumulative probability of a given value for a Weibull
distribution with given scale and shape parameters.

[list_begin arguments]
[arg_def float scale] - Scale parameter
[arg_def float shape] - Shape parameter
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::cdf-gumbel] [arg location] [arg scale] [arg value]]
Return the cumulative probability of a given value for a Gumbel
distribution with given location and scale parameters.

[list_begin arguments]
[arg_def float location] - Location parameter
[arg_def float scale] - Scale parameter
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::cdf-pareto] [arg scale] [arg shape] [arg value]]
Return the cumulative probability of a given value for a Pareto
distribution with given scale and shape parameters

[list_begin arguments]
[arg_def float scale] - Scale parameter
[arg_def float shape] - Shape parameter
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::cdf-cauchy] [arg location] [arg scale] [arg value]]
Return the cumulative probability of a given value for a Cauchy
distribution with given location and scale parameters.

[list_begin arguments]
[arg_def float location] - Location parameter
[arg_def float scale] - Scale parameter
[arg_def float value] - Value for which the probability is required
[list_end]
[para]

[call [cmd ::math::statistics::empirical-distribution] [arg values]]
Return a list of values and their empirical probability. The values are sorted in increasing order.
(The implementation follows the description at the corresponding Wikipedia page)

[list_begin arguments]
[arg_def list values] - List of data to be examined
[list_end]
[para]

[call [cmd ::math::statistics::random-normal] [arg mean] [arg stdev] [arg number]]
Return a list of "number" random values satisfying a normal
distribution with given mean and standard deviation.
[list_begin arguments]
[arg_def float mean] - Mean value of the distribution
[arg_def float stdev] - Standard deviation of the distribution
[arg_def int number] - Number of values to be returned
[list_end]
[para]

[call [cmd ::math::statistics::random-lognormal] [arg mean] [arg stdev] [arg number]]
Return a list of "number" random values satisfying a log-normal
distribution with given mean and standard deviation.
[list_begin arguments]
[arg_def float mean] - Mean value of the distribution
[arg_def float stdev] - Standard deviation of the distribution
[arg_def int number] - Number of values to be returned
[list_end]
[para]

[call [cmd ::math::statistics::random-exponential] [arg mean] [arg number]]
Return a list of "number" random values satisfying an exponential
distribution with given mean.
[list_begin arguments]
[arg_def float mean] - Mean value of the distribution
[arg_def int number] - Number of values to be returned
[list_end]
[para]

[call [cmd ::math::statistics::random-uniform] [arg xmin] [arg xmax] [arg number]]
Return a list of "number" random values satisfying a uniform
distribution with given extremes.

[list_begin arguments]
[arg_def float xmin] - Minimum value of the distribution
[arg_def float xmax] - Maximum value of the distribution
[arg_def int number] - Number of values to be returned
[list_end]
[para]

[call [cmd ::math::statistics::random-gamma] [arg alpha] [arg beta] [arg number]]
Return a list of "number" random values satisfying
a Gamma distribution with given shape and rate parameters.

[list_begin arguments]
[arg_def float alpha] - Shape parameter
[arg_def float beta] - Rate parameter
[arg_def int number] - Number of values to be returned
[list_end]
[para]

[call [cmd ::math::statistics::random-poisson] [arg mu] [arg number]]
Return a list of "number" random values satisfying
a Poisson distribution with given mean.

[list_begin arguments]
[arg_def float mu] - Mean of the distribution
[arg_def int number] - Number of values to be returned
[list_end]
[para]

[call [cmd ::math::statistics::random-chisquare] [arg df] [arg number]]
Return a list of "number" random values satisfying
a chi square distribution with given degrees of freedom.

[list_begin arguments]
[arg_def float df] - Degrees of freedom
[arg_def int number] - Number of values to be returned
[list_end]
[para]

[call [cmd ::math::statistics::random-student-t] [arg df] [arg number]]
Return a list of "number" random values satisfying
a Student's t distribution with given degrees of freedom.

[list_begin arguments]
[arg_def float df] - Degrees of freedom
[arg_def int number] - Number of values to be returned
[list_end]
[para]

[call [cmd ::math::statistics::random-beta] [arg a] [arg b] [arg number]]
Return a list of "number" random values satisfying
a Beta distribution with given shape parameters.

[list_begin arguments]
[arg_def float a] - First shape parameter
[arg_def float b] - Second shape parameter
[arg_def int number] - Number of values to be returned
[list_end]
[para]

[call [cmd ::math::statistics::random-weibull] [arg scale] [arg shape] [arg number]]
Return a list of "number" random values satisfying
a Weibull distribution with given scale and shape parameters.

[list_begin arguments]
[arg_def float scale] - Scale parameter
[arg_def float shape] - Shape parameter
[arg_def int number] - Number of values to be returned
[list_end]
[para]

[call [cmd ::math::statistics::random-gumbel] [arg location] [arg scale] [arg number]]
Return a list of "number" random values satisfying
a Gumbel distribution with given location and scale parameters.

[list_begin arguments]
[arg_def float location] - Location parameter
[arg_def float scale] - Scale parameter
[arg_def int number] - Number of values to be returned
[list_end]
[para]

[call [cmd ::math::statistics::random-pareto] [arg scale] [arg shape] [arg number]]
Return a list of "number" random values satisfying
a Pareto distribution with given scale and shape parameters.

[list_begin arguments]
[arg_def float scale] - Scale parameter
[arg_def float shape] - Shape parameter
[arg_def int number] - Number of values to be returned
[list_end]
[para]

[call [cmd ::math::statistics::random-cauchy] [arg location] [arg scale] [arg number]]
Return a list of "number" random values satisfying
a Cauchy distribution with given location and scale parameters.

[list_begin arguments]
[arg_def float location] - Location parameter
[arg_def float scale] - Scale parameter
[arg_def int number] - Number of values to be returned
[list_end]
[para]

[call [cmd ::math::statistics::histogram-uniform] [arg xmin] [arg xmax] [arg limits] [arg number]]
Return the expected histogram for a uniform distribution.

[list_begin arguments]
[arg_def float xmin] - Minimum value of the distribution
[arg_def float xmax] - Maximum value of the distribution
[arg_def list limits] - Upper limits for the buckets in the histogram
[arg_def int number] - Total number of "observations" in the histogram
[list_end]
[para]

[call [cmd ::math::statistics::incompleteGamma] [arg x] [arg p] [opt tol]]
Evaluate the incomplete Gamma integral

[example {
                    1       / x               p-1
      P(p,x) =  --------   |   dt exp(-t) * t
                Gamma(p)  / 0
}]

[list_begin arguments]
[arg_def float x] - Value of x (limit of the integral)
[arg_def float p] - Value of p in the integrand
[arg_def float tol] - Required tolerance (default: 1.0e-9)
[list_end]
[para]

[call [cmd ::math::statistics::incompleteBeta] [arg a] [arg b] [arg x] [opt tol]]
Evaluate the incomplete Beta integral

[list_begin arguments]
[arg_def float a] - First shape parameter
[arg_def float b] - Second shape parameter
[arg_def float x] - Value of x (limit of the integral)
[arg_def float tol] - Required tolerance (default: 1.0e-9)
[list_end]
[para]

[call [cmd ::math::statistics::estimate-pareto] [arg values]]
Estimate the parameters for the Pareto distribution that comes closest to the given values.
Returns the estimated scale and shape parameters, as well as the standard error for the shape parameter.

[list_begin arguments]
[arg_def list values] - List of values, assumed to be distributed according to a Pareto distribution
[list_end]
[para]

[list_end]
TO DO: more function descriptions to be added

[section "DATA MANIPULATION"]
The data manipulation procedures act on lists or lists of lists:

[list_begin definitions]

[call [cmd ::math::statistics::filter] [arg varname] [arg data] [arg expression]]
Return a list consisting of the data for which the logical
expression is true (this command works analogously to the command [cmd foreach]).

[list_begin arguments]
[arg_def string varname] - Name of the variable used in the expression
[arg_def list data] - List of data
[arg_def string expression] - Logical expression using the variable name
[list_end]
[para]

[call [cmd ::math::statistics::map] [arg varname] [arg data] [arg expression]]
Return a list consisting of the data that are transformed via the
expression.

[list_begin arguments]
[arg_def string varname] - Name of the variable used in the expression
[arg_def list data] - List of data
[arg_def string expression] - Expression to be used to transform (map) the data
[list_end]
[para]

[call [cmd ::math::statistics::samplescount] [arg varname] [arg list] [arg expression]]
Return a list consisting of the [term counts] of all data in the
sublists of the "list" argument for which the expression is true.

[list_begin arguments]
[arg_def string varname] - Name of the variable used in the expression
[arg_def list data] - List of sublists, each containing the data
[arg_def string expression] - Logical expression to test the data (defaults to
"true").
[list_end]
[para]

[call [cmd ::math::statistics::subdivide]]
Routine [emph PM] - not implemented yet
[para]

[list_end]

[section "PLOT PROCEDURES"]
The following simple plotting procedures are available:
[list_begin definitions]

[call [cmd ::math::statistics::plot-scale] [arg canvas] \
[arg xmin] [arg xmax] [arg ymin] [arg ymax]]
Set the scale for a plot in the given canvas. All plot routines expect
this function to be called first. There is no automatic scaling
provided.

[list_begin arguments]
[arg_def widget canvas] - Canvas widget to use
[arg_def float xmin] - Minimum x value
[arg_def float xmax] - Maximum x value
[arg_def float ymin] - Minimum y value
[arg_def float ymax] - Maximum y value
[list_end]
[para]

[call [cmd ::math::statistics::plot-xydata] [arg canvas] \
[arg xdata] [arg ydata] [arg tag]]
Create a simple XY plot in the given canvas - the data are
shown as a collection of dots. The tag can be used to manipulate the
appearance.

[list_begin arguments]
[arg_def widget canvas] - Canvas widget to use
[arg_def float xdata] - Series of independent data
[arg_def float ydata] - Series of dependent data
[arg_def string tag] - Tag to give to the plotted data (defaults to xyplot)
[list_end]
[para]

[call [cmd ::math::statistics::plot-xyline] [arg canvas] \
[arg xdata] [arg ydata] [arg tag]]
Create a simple XY plot in the given canvas - the data are
shown as a line through the data points. The tag can be used to
manipulate the appearance.
[list_begin arguments]
[arg_def widget canvas] - Canvas widget to use
[arg_def list xdata] - Series of independent data
[arg_def list ydata] - Series of dependent data
[arg_def string tag] - Tag to give to the plotted data (defaults to xyplot)
[list_end]
[para]

[call [cmd ::math::statistics::plot-tdata] [arg canvas] \
[arg tdata] [arg tag]]
Create a simple XY plot in the given canvas - the data are
shown as a collection of dots. The horizontal coordinate is equal to the
index. The tag can be used to manipulate the appearance.
This type of presentation is suitable for autocorrelation functions for
instance or for inspecting the time-dependent behaviour.
[list_begin arguments]
[arg_def widget canvas] - Canvas widget to use
[arg_def list tdata] - Series of dependent data
[arg_def string tag] - Tag to give to the plotted data (defaults to xyplot)
[list_end]
[para]

[call [cmd ::math::statistics::plot-tline] [arg canvas] \
[arg tdata] [arg tag]]
Create a simple XY plot in the given canvas - the data are
shown as a line. See plot-tdata for an explanation.

[list_begin arguments]
[arg_def widget canvas] - Canvas widget to use
[arg_def list tdata] - Series of dependent data
[arg_def string tag] - Tag to give to the plotted data (defaults to xyplot)
[list_end]
[para]

[call [cmd ::math::statistics::plot-histogram] [arg canvas] \
[arg counts] [arg limits] [arg tag]]
Create a simple histogram in the given canvas

[list_begin arguments]
[arg_def widget canvas] - Canvas widget to use
[arg_def list counts] - Series of bucket counts
[arg_def list limits] - Series of upper limits for the buckets
[arg_def string tag] - Tag to give to the plotted data (defaults to xyplot)
[list_end]
[para]

[list_end]

[section {THINGS TO DO}]
The following procedures are yet to be implemented:
[list_begin itemized]
[item]
F-test-stdev
[item]
interval-mean-stdev
[item]
histogram-normal
[item]
histogram-exponential
[item]
test-histogram
[item]
test-corr
[item]
quantiles-*
[item]
fourier-coeffs
[item]
fourier-residuals
[item]
onepar-function-fit
[item]
onepar-function-residuals
[item]
plot-linear-model
[item]
subdivide
[list_end]

[section EXAMPLES]
The code below is a small example of how you can examine a set of
data:
[para]
[example_begin]

# Simple example:
# - Generate data (as a cheap way of getting some)
# - Perform statistical analysis to describe the data
#
package require math::statistics

#
# Two auxiliary procs
#
proc pause {time} {
   set wait 0
   after [lb]expr {$time*1000}[rb] {set ::wait 1}
   vwait wait
}

proc print-histogram {counts limits} {
   foreach count $counts limit $limits {
      if { $limit != {} } {
         puts [lb]format "<%12.4g\t%d" $limit $count[rb]
         set prev_limit $limit
      } else {
         puts [lb]format ">%12.4g\t%d" $prev_limit $count[rb]
      }
   }
}

#
# Our source of arbitrary data
#
proc generateData { data1 data2 } {
   upvar 1 $data1 _data1
   upvar 1 $data2 _data2

   set d1 0.0
   set d2 0.0
   for { set i 0 } { $i < 100 } { incr i } {
      set d1 [lb]expr {10.0-2.0*cos(2.0*3.1415926*$i/24.0)+3.5*rand()}[rb]
      set d2 [lb]expr {0.7*$d2+0.3*$d1+0.7*rand()}[rb]
      lappend _data1 $d1
      lappend _data2 $d2
   }
   return {}
}

#
# The analysis session
#
package require Tk
console show
canvas .plot1
canvas .plot2
pack   .plot1 .plot2 -fill both -side top

generateData data1 data2

puts "Basic statistics:"
set b1 [lb]::math::statistics::basic-stats $data1[rb]
set b2 [lb]::math::statistics::basic-stats $data2[rb]
foreach label {mean min max number stdev var} v1 $b1 v2 $b2 {
   puts "$label\t$v1\t$v2"
}
puts "Plot the data as function of \"time\" and against each other"
::math::statistics::plot-scale .plot1  0 100  0 20
::math::statistics::plot-scale .plot2  0 20   0 20
::math::statistics::plot-tline .plot1 $data1
::math::statistics::plot-tline .plot1 $data2
::math::statistics::plot-xydata .plot2 $data1 $data2

puts "Correlation coefficient:"
puts [lb]::math::statistics::corr $data1 $data2]

pause 2
puts "Plot histograms"
.plot2 delete all
::math::statistics::plot-scale .plot2  0 20 0 100
set limits         [lb]::math::statistics::minmax-histogram-limits 7 16[rb]
set histogram_data [lb]::math::statistics::histogram $limits $data1[rb]
::math::statistics::plot-histogram .plot2 $histogram_data $limits

puts "First series:"
print-histogram $histogram_data $limits

pause 2
set limits         [lb]::math::statistics::minmax-histogram-limits 0 15 10[rb]
set histogram_data [lb]::math::statistics::histogram $limits $data2[rb]
::math::statistics::plot-histogram .plot2 $histogram_data $limits d2
.plot2 itemconfigure d2 -fill red

puts "Second series:"
print-histogram $histogram_data $limits

puts "Autocorrelation function:"
set  autoc [lb]::math::statistics::autocorr $data1[rb]
puts [lb]::math::statistics::map $autoc {[lb]format "%.2f" $x]}[rb]
puts "Cross-correlation function:"
set  crossc [lb]::math::statistics::crosscorr $data1 $data2[rb]
puts [lb]::math::statistics::map $crossc {[lb]format "%.2f" $x[rb]}[rb]

::math::statistics::plot-scale .plot1  0 100 -1  4
::math::statistics::plot-tline .plot1  $autoc "autoc"
::math::statistics::plot-tline .plot1  $crossc "crossc"
.plot1 itemconfigure autoc  -fill green
.plot1 itemconfigure crossc -fill yellow

puts "Quantiles: 0.1, 0.2, 0.5, 0.8, 0.9"
puts "First:  [lb]::math::statistics::quantiles $data1 {0.1 0.2 0.5 0.8 0.9}[rb]"
puts "Second: [lb]::math::statistics::quantiles $data2 {0.1 0.2 0.5 0.8 0.9}[rb]"

[example_end]
If you run this example, then the following should be clear:
[list_begin itemized]
[item]
There is a strong correlation between two time series, as displayed by
the raw data and especially by the correlation functions.
[item]
Both time series show a significant periodic component
[item]
The histograms are not very useful in identifying the nature of the time
series - they do not show the periodic nature.
[list_end]

[vset CATEGORY {math :: statistics}]
[include ../doctools2base/include/feedback.inc]
[manpage_end]
