2020-10-13 18:46:15 +00:00
|
|
|
/*Check only p-value first*/
|
2020-06-17 15:43:22 +00:00
|
|
|
DROP TABLE IF EXISTS welch_ttest;
|
|
|
|
|
CREATE TABLE welch_ttest (left Float64, right Float64) ENGINE = Memory;
|
2020-10-12 16:37:04 +00:00
|
|
|
INSERT INTO welch_ttest VALUES (27.5,27.1), (21.0,22.0), (19.0,20.8), (23.6,23.4), (17.0,23.4), (17.9,23.5), (16.9,25.8), (20.1,22.0), (21.9,24.8), (22.6,20.2), (23.1,21.9), (19.6,22.1), (19.0,22.9), (21.7,20.5), (21.4,24.4);
|
|
|
|
|
SELECT '0.021378001462867';
|
2020-10-26 19:26:01 +00:00
|
|
|
SELECT roundBankers(welchTTest(left, right).2, 16) from welch_ttest;
|
2020-06-17 15:43:22 +00:00
|
|
|
DROP TABLE IF EXISTS welch_ttest;
|
|
|
|
|
|
2020-10-12 16:37:04 +00:00
|
|
|
CREATE TABLE welch_ttest (left Float64, right Float64) ENGINE = Memory;
|
|
|
|
|
INSERT INTO welch_ttest VALUES (30.02,29.89), (29.99,29.93), (30.11,29.72), (29.97,29.98), (30.01,30.02), (29.99,29.98);
|
|
|
|
|
SELECT '0.090773324285671';
|
2020-10-26 19:26:01 +00:00
|
|
|
SELECT roundBankers(welchTTest(left, right).2, 16) from welch_ttest;
|
2020-10-12 16:37:04 +00:00
|
|
|
DROP TABLE IF EXISTS welch_ttest;
|
2020-06-17 15:43:22 +00:00
|
|
|
|
2020-10-12 16:37:04 +00:00
|
|
|
CREATE TABLE welch_ttest (left Float64, right Float64) ENGINE = Memory;
|
|
|
|
|
INSERT INTO welch_ttest VALUES (0.010268,0.159258), (0.000167,0.136278), (0.000167,0.122389);
|
|
|
|
|
SELECT '0.00339907162713746';
|
2020-10-26 19:26:01 +00:00
|
|
|
SELECT roundBankers(welchTTest(left, right).2, 16) from welch_ttest;
|
2020-10-13 18:46:15 +00:00
|
|
|
DROP TABLE IF EXISTS welch_ttest;
|
|
|
|
|
|
|
|
|
|
/*Check t-stat and p-value and compare it with scipy.stat implementation
|
|
|
|
|
First: a=10, sigma (not sigma^2)=5, size=500
|
|
|
|
|
Second: a=10, sigma = 10, size = 500 */
|
|
|
|
|
CREATE TABLE welch_ttest (left Float64, right Float64) ENGINE = Memory;
|
|
|
|
|
INSERT INTO welch_ttest VALUES (14.72789,-8.65656), (9.61661,22.98234), (13.57615,23.80821), (3.98392,13.33939), (11.98889,-4.05537), (10.99422,23.5155), (5.44792,-6.45272), (20.29346,17.7903), (7.05926,11.463), (9.22732,5.28021), (12.06847,8.39157), (13.52612,6.02464), (8.24597,14.43732), (9.35245,15.76584), (10.12297,1.54391), (15.80624,1.24897), (13.68613,27.1507), (10.72729,7.71091), (5.62078,15.71846), (6.12229,32.97808), (6.03801,-1.79334), (8.95585,-9.23439), (24.04613,11.27838), (9.04757,0.72703), (2.68263,18.51557), (15.43935,9.16619), (2.89423,17.29624), (4.01423,-1.30208), (4.30568,-3.48018), (11.99948,10.12082), (8.40574,-8.01318), (10.86642,-14.22264), (9.4266,16.58174), (-8.12752,-0.55975), (7.91634,5.61449), (7.3967,1.44626), (2.26431,7.89158), (14.20118,1.13369), (6.68233,-0.82609), (15.46221,12.23365), (7.88467,12.45443), (11.20011,14.46915), (8.92027,13.72627), (10.27926,18.41459), (5.14395,29.66702), (5.62178,1.51619), (12.84383,10.40078), (9.98009,3.33266), (-0.69789,6.12036), (11.41386,11.86553), (7.76863,6.59422), (7.21743,22.0948), (1.81176,1.79623), (9.43762,14.29513), (19.22117,19.69162), (2.97128,-7.98033), (14.32851,5.48433), (7.54959,-2.28474), (3.81545,9.91876), (10.1281,10.64097), (2.48596,0.22523), (10.0461,17.01773), (3.59714,22.37388), (9.73522,14.04215), (18.8077,23.1244), (3.15148,18.96958), (12.26062,8.42663), (5.66707,3.7165), (6.58623,14.29366), (17.30902,23.50886), (9.91391,26.33722), (5.36946,26.72396), (15.73637,13.26287), (16.96281,12.97607), (11.54063,17.41838), (18.37358,8.63875), (11.38255,17.08943), (10.53256,23.15356), (8.08833,-4.4965), (16.27556,7.58895), (2.42969,26.04074), (9.56127,6.84245), (7.32998,20.56287), (9.19511,3.84735), (9.66903,-2.76304), (4.15029,13.1615), (8.83511,8.21954), (14.60617,-3.49943), (14.06143,22.12419), (5.39556,7.08323), (10.11871,16.12937), (10.56619,-0.32672), (14.4462,16.5942), (10.42106,7.68977), (7.75551,11.39484), (11.00418,-5.11987), (4.47226,20.87404), (16.35461,8.01007), (18.55174,3.26497), (11.82044,5.61253), (7.39454,20.69182), (11.27767,0.0296), (6.83827,21.904), (7.76858,22.46572), (15.97614,3.63685), (14.53781,-5.10846), (12.99546,14.86389), (16.91151,5.47188), (9.65012,18.44095), (14.25487,16.71368), (14.03618,6.36704), (2.57382,8.82663), (2.50779,14.6727), (14.24787,7.98383), (13.34666,2.65568), (7.31102,21.45827), (10.22981,11.77948), (17.4435,4.71979), (21.2074,3.17951), (6.64191,13.90226), (18.7086,15.50578), (14.78686,10.8026), (9.85287,16.91369), (4.48263,9.90552), (14.17469,13.87322), (14.4342,4.12366), (19.2481,-3.78985), (3.47165,1.7599), (8.28712,3.43715), (8.81657,-3.45246), (0.92319,23.64571), (20.41106,-4.96877), (6.76127,3.93514), (22.00242,1.49914), (8.66129,12.71519), (10.9929,5.11521), (17.95494,4.79872), (17.20996,20.89391), (12.18888,5.363), (12.14257,8.02765), (15.81243,14.30804), (4.43362,11.49002), (1.17567,14.25281), (15.60881,7.6573), (9.34833,15.49686), (6.33513,3.29327), (-0.83095,2.27236), (12.43268,12.58104), (6.63207,19.19128), (11.96877,15.25901), (14.81029,6.5221), (21.84876,10.10965), (3.75896,12.75249), (6.91307,16.50977), (13.73015,-8.6697), (8.63753,8.28553), (15.71679,1.44315), (1.74565,4.65869), (9.16895,0.98149), (5.70685,0.16623), (5.00117,17.66332), (13.06888,4.35346), (7.51204,6.52742), (15.34885,-1.06631), (5.20264,-5.28454), (8.59043,14.25583), (6.45619,8.74058), (14.61979,1.89553), (11.7075,-0.92959), (14.04901,10.30289), (4.20525,-6.3744), (15.1733,-8.1706), (3.12934,10.95369), (8.08049,4.94384), (15.41273,28.40568), (16.90751,3.7004), (5.86893,2.52363), (7.1086,4.07997), (4.418,7.8849), (12.0614,17.95409), (7.07887,16.67021), (3.61585,11.34377), (11.73001,-0.07446), (10.80449,22.00223), (8.40311,3.31778), (9.91276,18.50719), (16.4164,-3.58655), (5.25034,6.5394), (15.20283,12.40459), (10.42909,16.59866), (9.53888,7.54176), (14.68939,-1.51044), (6.60007,12.69758), (18.31058,2.9842), (7.01885,2.49187), (18.71631,2.04113), (10.50002,-2.46544), (10.7517,15.18368), (4.23224,-0.04058), (2.28924,-0.4127), (8.56059,10.5526), (8.25095,12.03982), (9.15673,12.10923), (13.28409,11.54954), (8.4513,
|
2020-10-13 18:50:04 +00:00
|
|
|
SELECT '-0.5028215369186904', '0.6152361677168877';
|
2020-10-26 19:26:01 +00:00
|
|
|
SELECT roundBankers(welchTTest(left, right).1, 16) as t_stat, roundBankers(welchTTest(left, right).2, 16) as p_value from welch_ttest;
|
2020-10-13 18:46:15 +00:00
|
|
|
DROP TABLE IF EXISTS welch_ttest;
|
|
|
|
|
|
|
|
|
|
/*Check t-stat and p-value and compare it with scipy.stat implementation
|
|
|
|
|
First: a=10, sigma (not sigma^2)=5, size=500
|
|
|
|
|
Second: a=1, sigma = 12, size = 500 */
|
|
|
|
|
CREATE TABLE welch_ttest (left Float64, right Float64) ENGINE = Memory;
|
|
|
|
|
INSERT INTO welch_ttest VALUES (4.82025,-2.69857), (6.13896,15.80943), (15.20277,7.31555), (14.15351,3.96517), (7.21338,4.77809), (8.55506,9.6472), (13.80816,-26.41717), (11.28411,-10.85635), (7.4612,-1.4376), (7.43759,-0.96308), (12.9832,2.84315), (-5.74783,5.79467), (12.47114,-3.06091), (15.14223,-14.62902), (3.40603,22.08022), (9.27323,-2.11982), (7.88547,-4.84824), (8.56456,-10.50447), (4.59731,2.4891), (7.91213,9.90324), (7.33894,-22.66866), (21.74811,-0.97103), (11.92111,-16.57608), (0.18828,-3.78749), (10.47314,25.84511), (20.37396,5.30797), (11.04991,-18.19466), (13.30083,11.72708), (14.28065,0.2891), (2.86942,-9.83474), (24.96072,6.69942), (14.20164,18.09604), (18.28769,18.52651), (10.50949,1.38201), (9.22273,7.64615), (11.77608,17.66598), (8.56872,-2.44141), (13.74535,-9.01598), (11.65209,27.69142), (12.51894,4.06946), (17.76256,-15.0077), (13.52122,-10.49648), (8.70796,-4.88322), (6.04749,-25.09805), (16.33064,-4.64024), (8.35636,20.94434), (14.03496,24.12126), (11.05834,-14.10962), (14.49261,10.6512), (2.59383,14.50687), (8.01022,-19.88081), (4.05458,-11.55271), (13.26384,13.16921), (14.62058,16.63864), (10.52489,-24.08114), (8.46357,-9.09949), (6.4147,-10.54702), (9.70071,0.20813), (12.47581,8.19066), (4.38333,-2.70523), (17.54172,-0.23954), (10.12109,7.19398), (7.73186,-7.1618), (14.0279,-7.44322), (11.6621,-17.92031), (17.47045,-1.58146), (15.50223,9.18338), (15.46034,3.25838), (13.39964,-14.30234), (14.98025,1.84695), (15.87912,31.13794), (17.67374,-0.85067), (9.64073,19.02787), (12.84904,-3.09594), (7.70278,13.45584), (13.03156,-5.48104), (9.04512,-22.74928), (15.97014,-8.03697), (8.96389,17.31143), (11.48009,-16.65231), (9.71153,-18.58713), (13.00084,-16.52641), (12.39803,14.95261), (13.08188,12.56762), (5.82244,15.00188), (10.81871,1.85858), (8.2539,2.1926), (7.52114,-2.4095), (9.11488,21.56873), (8.37482,3.35509), (14.48652,-4.98672), (11.42152,35.08603), (16.03111,-10.01602), (13.14057,-3.85153), (-2.26351,-6.81974), (15.50394,19.56525), (14.88603,-9.35488), (13.37257,0.24268), (11.84026,-3.51488), (7.66558,-0.37066), (6.24584,24.20888), (3.6312,-11.73537), (2.7018,0.01282), (5.63656,0.03963), (5.82643,-9.65589), (10.06745,-0.37429), (-0.5831,5.61255), (14.84202,0.49984), (9.5524,-10.15066), (19.71713,-14.54314), (14.23109,16.56889), (8.69105,-7.73873), (5.33742,-3.76422), (7.30372,1.40722), (7.93342,2.28818), (15.20884,-13.12643), (7.53839,5.17082), (13.45311,4.79089), (11.04473,-17.42643), (10.76673,8.72548), (15.44145,-3.70285), (14.06596,16.77893), (9.14873,13.382), (12.88372,19.98418), (8.74994,0.00483), (10.53263,-4.75951), (16.16694,2.35391), (8.37197,21.65809), (3.43739,-9.2714), (4.72799,-18.38253), (9.08802,7.23097), (11.2531,14.97927), (5.16115,-4.02197), (10.20895,-29.8189), (18.70884,-12.8554), (15.88924,-7.60124), (3.38758,-14.90158), (6.46449,-3.31486), (10.21088,31.38144), (14.08458,-8.61288), (15.74508,15.31895), (19.31896,-10.19488), (13.19641,13.796), (11.95409,-0.32912), (10.70718,-0.0684), (1.05245,-30.06834), (10.04772,24.93912), (17.01369,-3.26506), (10.2286,-8.29751), (19.58323,-5.39189), (7.02892,-25.08603), (4.16866,-1.45318), (8.94326,16.72724), (4.99854,-3.38467), (8.88352,-26.00478), (18.65422,7.28369), (17.32328,16.96226), (9.33492,16.5858), (14.94788,10.46583), (8.05863,3.84345), (14.6737,-2.99382), (10.93801,1.42078), (0.54036,-11.0123), (-0.34242,2.09909), (5.89076,1.21064), (3.15189,15.36079), (1.94421,-21.61349), (6.38698,22.7726), (10.50654,10.50512), (8.95362,-6.95825), (6.23711,9.20036), (11.75359,15.66902), (12.42155,3.28098), (-1.55472,-9.05692), (4.6688,0.32882), (10.48087,-1.64934), (11.74615,-4.81406), (9.26822,-5.06006), (7.55517,19.97493), (12.76005,2.88646), (16.47102,-0.34552), (11.31297,7.55186), (14.37437,-22.96115), (2.38799,31.29166), (6.44577,6.18798), (5.07471,-2.52715), (11.55123,-11.58799), (7.76795,14.13596), (10.60116,13.45069), (14.40885,12.15179), (11.58158,3.44491), (8.81648,-8.78006), (12.92299,18.32087), (11.26939,11.91757), (17.95014,-2.00179), (2.95002,10.88411), (17.41959,9.09327), (11.12455,6.62484), (8.78541,8.87178), (14.36413,11.52
|
2020-10-13 18:50:04 +00:00
|
|
|
SELECT '14.971190998235835', '5.898143508382202e-44';
|
2020-10-26 19:26:01 +00:00
|
|
|
SELECT roundBankers(welchTTest(left, right).1, 16) as t_stat, roundBankers(welchTTest(left, right).2, 16) as p_value from welch_ttest;
|
2020-10-13 18:46:15 +00:00
|
|
|
DROP TABLE IF EXISTS welch_ttest;
|
