Statistical inference: CLT,

confidence intervals, p-values

Statistical Inference
The process of making
guesses about the truth from
a sample.

Sample
(observation)
Make guesses
about the whole
population
Truth (not
observable)
N
x
N
i
i
2
1 2
) (
o

=

=
N
x
N
i

=
=
1

Population
parameters
1
) (

2
1 2 2

= =

=
n
X x
s
n
n
i
i
o
n
x
X
n
i
n

=
= =
1

Sample statistics
*hat notation ^ is often used to indicate
estitmate
Statistics vs. Parameters
Sample Statistic any summary measure calculated from
data; e.g., could be a mean, a difference in means or
proportions, an odds ratio, or a correlation coefficient
E.g., the mean vitamin D level in a sample of 100 men is 63 nmol/L
E.g., the correlation coefficient between vitamin D and cognitive
function in the sample of 100 men is 0.15

Population parameter the true value/true effect in the
entire population of interest
E.g., the true mean vitamin D in all middle-aged and older European
men is 62 nmol/L
E.g., the true correlation between vitamin D and cognitive function in
all middle-aged and older European men is 0.15

Examples of Sample Statistics:
Single population mean
Single population proportion
Difference in means (ttest)
Difference in proportions (Z-test)
Odds ratio/risk ratio
Correlation coefficient
Regression coefficient


Example 1: cognitive function
and vitamin D
Hypothetical data loosely based on [1]; cross-
sectional study of 100 middle-aged and older
European men.
Estimation: What is the average serum vitamin D in
middle-aged and older European men?
Sample statistic: mean vitamin D levels
Hypothesis testing: Are vitamin D levels and cognitive
function correlated?
Sample statistic: correlation coefficient between vitamin D
and cognitive function, measured by the Digit Symbol
Substitution Test (DSST).

1. Lee DM, Tajar A, Ulubaev A, et al. Association between 25-hydroxyvitamin D levels and cognitive performance in middle-aged
and older European men. J Neurol Neurosurg Psychiatry. 2009 Jul;80(7):722-9.

Distribution of a trait: vitamin D
Right-skewed!
Mean= 63 nmol/L
Standard deviation = 33 nmol/L
Distribution of a trait: DSST
Normally distributed
Mean = 28 points
Standard deviation = 10 points
Distribution of a statistic
Statistics follow distributions too
But the distribution of a statistic is a theoretical
construct.
Statisticians ask a thought experiment: how much
would the value of the statistic fluctuate if one could
repeat a particular study over and over again with
different samples of the same size?
By answering this question, statisticians are able to
pinpoint exactly how much uncertainty is associated
with a given statistic.
Distribution of a statistic
Two approaches to determine the distribution
of a statistic:
1. Computer simulation
Repeat the experiment over and over again virtually!
More intuitive; can directly observe the behavior of
statistics.
2. Mathematical theory
Proofs and formulas!
More practical; use formulas to solve problems.

Example of computer
simulation
How many heads come up in 100 coin
tosses?
Flip coins virtually
Flip a coin 100 times; count the number of
heads.
Repeat this over and over again a large
number of times (well try 30,000 repeats!)
Plot the 30,000 results.
Coin tosses
Conclusions:
We usually get
between 40 and 60
heads when we flip a
coin 100 times.
Its extremely unlikely
that we will get 30
heads or 70 heads
(didnt happen in
30,000 experiments!).
Distribution of the sample mean,
computer simulation
1. Specify the underlying distribution of vitamin D
in all European men aged 40 to 79.
Right-skewed
Standard deviation = 33 nmol/L
True mean = 62 nmol/L (this is arbitrary; does not affect
the distribution)
2. Select a random sample of 100 virtual men from
the population.
3. Calculate the mean vitamin D for the sample.
4. Repeat steps (2) and (3) a large number of
times (say 1000 times).
5. Explore the distribution of the 1000 means.
Distribution of mean vitamin D
(a sample statistic)
Normally distributed! Surprise!
Mean= 62 nmol/L (the true
mean)
Standard deviation = 3.3 nmol/L
Normally distributed (even though the
trait is right-skewed!)
Mean = true mean
Standard deviation = 3.3 nmol/L
The standard deviation of a statistic is
called a standard error
The standard error of a mean =
Distribution of mean vitamin D
(a sample statistic)
n
s
If I increase the sample size
to n=400
Standard error = 1.7 nmol/L
7 . 1
400
33
= =
n
s
If I increase the variability of
vitamin D (the trait) to SD=40
Standard error = 4.0 nmol/L
0 . 4
100
40
= =
n
s
Mathematical Theory
The Central Limit Theorem!
If all possible random samples, each of size n, are
taken from any population with a mean and a
standard deviation o, the sampling distribution of
the sample means (averages) will:

=
x
1. have mean:
n
x
o
o = 2. have standard deviation:
3. be approximately normally distributed regardless of the shape
of the parent population (normality improves with larger n). It all
comes back to Z!
Symbol Check

x
The mean of the sample means.
x
o
The standard deviation of the sample means. Also
called the standard error of the mean.
Mathematical Proof (optional!)
If X is a random variable from any distribution with
known mean, E(x), and variance, Var(x), then the
expected value and variance of the average of n
observations of X is:


) (
) (
) (
) ( ) (
1 1
x E
n
x nE
n
x E
n
x
E X E
n
i
n
i
i
n
= = = =

= =
n
x Var
n
x nVar
n
x Var
n
x
Var X Var
n
i
n
i
i
n
) ( ) (
) (
) ( ) (
2 2
1 1
= = = =

= =
Computer simulation of the CLT:
(this is what we will do in lab next Wednesday!)
1. Pick any probability distribution and specify a mean and
standard deviation.
2. Tell the computer to randomly generate 1000 observations
from that probability distributions
E.g., the computer is more likely to spit out values with high
probabilities
3. Plot the observed values in a histogram.
4. Next, tell the computer to randomly generate 1000 averages-
of-2 (randomly pick 2 and take their average) from that
probability distribution. Plot observed averages in histograms.
5. Repeat for averages-of-10, and averages-of-100.
Uniform on [0,1]: average of 1
(original distribution)
Uniform: 1000 averages of 2

Uniform: 1000 averages of 5

Uniform: 1000 averages of 100

~Exp(1): average of 1
(original distribution)
~Exp(1): 1000 averages of 2

~Exp(1): 1000 averages of 5

~Exp(1): 1000 averages of 100

~Bin(40, .05): average of 1
(original distribution)
~Bin(40, .05): 1000 averages
of 2

~Bin(40, .05): 1000 averages
of 5

~Bin(40, .05): 1000 averages of
100

The Central Limit Theorem:
If all possible random samples, each of size n, are
taken from any population with a mean and a
standard deviation o, the sampling distribution of
the sample means (averages) will:

=
x
1. have mean:
n
x
o
o = 2. have standard deviation:
3. be approximately normally distributed regardless of the shape
of the parent population (normality improves with larger n)
Central Limit Theorem caveats
for small samples:
For small samples:
The sample standard deviation is an imprecise estimate of
the true standard deviation (); this imprecision changes
the distribution to a T-distribution.
A t-distribution approaches a normal distribution for large n
(>100), but has fatter tails for small n (<100)
If the underlying distribution is non-normal, the
distribution of the means may be non-normal.



More on T-distributions next week!!
Summary: Single population
mean (large n)
Hypothesis test:



Confidence Interval

n
s
Z
mean null mean observed
=
) ( * Z mean observed interval confidence
/2
n
s
o
=
Single population mean (small
n, normally distributed trait)
Hypothesis test:



Confidence Interval

n
s
T
n
mean null mean observed
1

=

) ( * T mean observed interval confidence

/2 , 1
n
s
n o
=
Examples of Sample Statistics:
Single population mean
Single population proportion
Difference in means (ttest)
Difference in proportions (Z-test)
Odds ratio/risk ratio
Correlation coefficient
Regression coefficient


1. Specify the true correlation coefficient
Correlation coefficient = 0.15
2. Select a random sample of 100 virtual
men from the population.
3. Calculate the correlation coefficient for
the sample.
4. Repeat steps (2) and (3) 15,000 times
5. Explore the distribution of the 15,000
correlation coefficients.
Distribution of a correlation
coefficient?? Computer simulation
Distribution of a correlation
coefficient
Normally distributed!
Mean = 0.15 (true correlation)
Standard error = 0.10
Distribution of a correlation
coefficient in general
1. Shape of the distribution
Normally distributed for large samples
T-distribution for small samples (n<100)
2. Mean = true correlation coefficient
(r)
3. Standard error ~
n
r
2
1
Many statistics follow normal
(or t-distributions)
Means/difference in means
T-distribution for small samples
Proportions/difference in proportions
Regression coefficients
T-distribution for small samples
Natural log of the odds ratio
Estimation (confidence
intervals)
What is a good estimate for the true
mean vitamin D in the population (the
population parameter)?
63 nmol/L +/- margin of error
95% confidence interval
Goal: capture the true effect (e.g., the
true mean) most of the time.
A 95% confidence interval should
include the true effect about 95% of
the time.
A 99% confidence interval should
include the true effect about 99% of
the time.
Mean Mean + 2 Std error =68.6 Mean - 2 Std error=55.4
Recall: 68-95-99.7 rule for normal distributions! These is a 95%
chance that the sample mean will fall within two standard errors of
the true mean= 62 +/- 2*3.3 = 55.4 nmol/L to 68.6 nmol/L
To be precise, 95%
of observations fall
between Z=-1.96
and Z= +1.96 (so
the 2 is a rounded
number)
95% confidence interval
There is a 95% chance that the sample mean
is between 55.4 nmol/L and 68.6 nmol/L
For every sample mean in this range, sample
mean +/- 2 standard errors will include the
true mean:
For example, if the sample mean is 68.6 nmol/L:
95% CI = 68.6 +/- 6.6 = 62.0 to 75.2
This interval just hits the true mean, 62.0.
95% confidence interval
Thus, for normally distributed statistics, the
formula for the 95% confidence interval is:
sample statistic 2 x (standard error)
Examples:
95% CI for mean vitamin D:
63 nmol/L 2 x (3.3) = 56.4 69.6 nmol/L
95% CI for the correlation coefficient:
0.15 2 x (0.1) = -.05 .35

Simulation of 20 studies of
100 men
95% confidence
intervals for the mean
vitamin D for each of the
simulated studies.
Only 1 confidence
interval missed the true
mean.
Vertical line indicates the true mean (62)
Confidence Intervals give:
*A plausible range of values for a population
parameter.
*The precision of an estimate.(When
sampling variability is high, the confidence
interval will be wide to reflect the uncertainty
of the observation.)
*Statistical significance (if the 95% CI does
not cross the null value, it is significant at
.05)

Confidence Intervals

point estimate (measure of how confident
we want to be) (standard error)


The value of the statistic in my sample
(eg., mean, odds ratio, etc.)
From a Z table or a T table, depending
on the sampling distribution of the
statistic.
Standard error of the statistic.
Common Z levels of confidence
Commonly used confidence levels are
90%, 95%, and 99%
Confidence
Level
Z value
1.28
1.645
1.96
2.33
2.58
3.08
3.27
80%
90%
95%
98%
99%
99.8%
99.9%
99% confidence intervals
99% CI for mean vitamin D:
63 nmol/L 2.6 x (3.3) = 54.4 71.6 nmol/L
99% CI for the correlation coefficient:
0.15 2.6 x (0.1) = -.11 .41

Testing Hypotheses
1. Is the mean vitamin D in middle-
aged and older European men lower
than 100 nmol/L (the desirable level)?
2. Is cognitive function correlated with
vitamin D?

Is the mean vitamin D
different than 100?
Start by assuming that the mean = 100
This is the null hypothesis
This is usually the straw man that we
want to shoot down
Determine the distribution of statistics
assuming that the null is true
Computer simulation (10,000
repeats)
This is called the null
distribution!

Normally distributed
Std error = 3.3
Mean = 100
Compare the null distribution
to the observed value
Whats the
probability of
seeing a sample
mean of 63 nmol/L
if the true mean is
100 nmol/L?
It didnt happen in
10,000 simulated
studies. So the
probability is less
than 1/10,000
Compare the null distribution
to the observed value
This is the p-value!
P-value < 1/10,000
Calculating the p-value with a
formula
Because we know how normal curves work, we can exactly calculate
the probability of seeing an average of 63 nmol/L if the true average
weight is 100 (i.e., if our null hypothesis is true):






2 . 11
3 . 3
100 63
=

= Z
Z= 11.2, P-value << .0001
The P-value
P-value is the probability that we would have seen our
data (or something more unexpected) just by chance if
the null hypothesis (null value) is true.

Small p-values mean the null value is unlikely given
our data.

Our data are so unlikely given the null hypothesis
(<<1/10,000) that Im going to reject the null
hypothesis! (Dont want to reject our data!)




P-value<.0001 means:
The probability of seeing what you saw or something
more extreme if the null hypothesis is true (due to
chance)<.0001

P(empirical data/null hypothesis) <.0001

The P-value
By convention, p-values of <.05 are often
accepted as statistically significant in the
medical literature; but this is an arbitrary cut-
off.

A cut-off of p<.05 means that in about 5 of
100 experiments, a result would appear
significant just by chance (Type I error).
Summary: Hypothesis
Testing
The Steps:
1. Define your hypotheses (null, alternative)
2. Specify your null distribution
3. Do an experiment
4. Calculate the p-value of what you observed
5. Reject or fail to reject (~accept) the null
hypothesis

Hypothesis Testing
The Steps:
1. Define your hypotheses (null, alternative)
The null hypothesis is the straw man that we are trying to shoot down.
Null here: mean vitamin D level = 100 nmol/L
Alternative here: mean vit D < 100 nmol/L (one-sided)
2. Specify your sampling distribution (under the null)
If we repeated this experiment many, many times, the mean vitamin D
would be normally distributed around 100 nmol/L with a standard error
of 3.3
3 . 3
100
33
=
3. Do a single experiment (observed sample mean = 63 nmol/L)
4. Calculate the p-value of what you observed (p<.0001)
5. Reject or fail to reject the null hypothesis (reject)

Confidence intervals give the same
information (and more) than hypothesis
tests
Duality with hypothesis tests.
Null value
95% confidence interval
Null hypothesis: Average vitamin D is 100 nmol/L
Alternative hypothesis: Average vitamin D is not 100
nmol/L (two-sided)
P-value < .05
50 60 70 80 90 100
Duality with hypothesis tests.
Null value
99% confidence interval
Null hypothesis: Average vitamin D is 100 nmol/L
Alternative hypothesis: Average vitamin D is not 100
nmol/L (two-sided)
P-value < .01
50 60 70 80 90 100




2. Is cognitive function correlated
with vitamin D?
Null hypothesis: r = 0
Alternative hypothesis: r = 0
Two-sided hypothesis
Doesnt assume that the correlation will be
positive or negative.
Computer simulation (15,000
repeats)
Null distribution:
Normally distributed
Std error = 0.1
Mean = 0
Whats the probability of our
data?
Even when the true
correlation is 0, we get
correlations as big as 0.15
or bigger 7% of the time.
Whats the probability of our
data?
This is a two-sided hypothesis
test, so more extreme
includes as big or bigger
negative correlations (<-0.15).

P-value = 7% + 7% = 14%
Whats the probability of our
data?
Our results could have
happened purely due to a
fluke of chance!
Formal hypothesis test
1. Null hypothesis: r=0
Alternative: r = 0 (two-sided)
2. Determine the null distribution
Normally distributed
Standard error = 0.1
3. Collect Data, r=0.15
4. Calculate the p-value for the data:
Z =

5. Reject or fail to reject the null (fail to reject)


5 . 1
1 .
0 15 . 0
=

Z of 1.5 corresponds to a
two-sided p-value of 14%
Or use confidence interval to
gauge statistical significance
95% CI = -0.05 to 0.35
Thus, 0 (the null value) is a plausible
value!
P>.05
Examples of Sample Statistics:
Single population mean
Single population proportion
Difference in means (ttest)
Difference in proportions (Z-test)
Odds ratio/risk ratio
Correlation coefficient
Regression coefficient


Example 2: HIV vaccine trial
Thai HIV vaccine trial (2009)
8197 randomized to vaccine
8198 randomized to placebo
Generated a lot of public discussion about p-
values!
Source: BBC news, http://news.bbc.co.uk/go/pr/fr/-/2/hi/health/8272113.stm
51/8197 vs. 75/8198
=23 excess infections in the
placebo group.
=2.8 fewer infections per 1000
people vaccinated
Null hypothesis
Null hypothesis: infection rate is the
same in the two groups
Alternative hypothesis: infection rates
differ
Computer simulation assuming
the null (15,000 repeats)
Normally distributed,
standard error = 11.1
Computer simulation assuming
the null (15,000 repeats)
If the vaccine is
completely
ineffective, we
could still get 23
excess infections
just by chance.

Probability of 23
or more excess
infections = 0.04
How to interpret p=.04
P(data/null) = .04
P(null/data) =.04

P(null/data) > 22%
*estimated using Bayes Rule (and
prior data on the vaccine)


*Gilbert PB, Berger JO, Stablein D, Becker S, Essex M, Hammer SM, Kim JH, DeGruttola VG. Statistical
interpretation of the RV144 HIV vaccine efficacy trial in Thailand: a case study for statistical issues in efficacy
trials. J Infect Dis 2011; 203: 969-975.

Alternative analysis of the
data (intention to treat)
56/8202 (6.8 per 1000) infections in the
vaccine group versus 76/8200 (9.3 per
1000)
Computer simulation assuming
the null (15,000 repeats)
Probability of 20
or more excess
infections = 0.08
P=.08 is only slightly
different than p=.04!
Confidence intervals
95% CI (analysis 1): .0014 to .0055

95% CI (analysis 2): -.0003 to .0051

The plausible ranges are nearly
identical!