Fix comments

(cherry picked from commit 7065e50c74)
(cherry picked from commit 1f21160041)
This commit is contained in:
Alexey Milovidov 2020-11-02 19:44:12 +03:00 committed by nikitamikhaylov
parent be84bd1aba
commit fb234c2b17
2 changed files with 12 additions and 5 deletions

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@ -18,19 +18,26 @@ namespace DB
namespace
{
/** Student T-test applies to two samples of independent random variables
* that have normal distributions with equal (but unknown) variances.
* It allows to answer the question whether means of the distributions differ.
*
* If variances are not considered equal, Welch T-test should be used instead.
*/
struct StudentTTestData : public TTestMoments<Float64>
{
static constexpr auto name = "studentTTest";
std::pair<Float64, Float64> getResult() const
{
Float64 degrees_of_freedom = 2.0 * (m0 - 1);
Float64 mean_x = x1 / m0;
Float64 mean_y = y1 / m0;
/// Calculate s^2
/// To estimate the variance we first estimate two means.
/// That's why the number of degrees of freedom is the total number of values of both samples minus 2.
Float64 degrees_of_freedom = 2.0 * (m0 - 1);
/// Calculate s^2
/// The original formulae looks like
/// \frac{\sum_{i = 1}^{n_x}{(x_i - \bar{x}) ^ 2} + \sum_{i = 1}^{n_y}{(y_i - \bar{y}) ^ 2}}{n_x + n_y - 2}
/// But we made some mathematical transformations not to store original sequences.
@ -42,7 +49,7 @@ struct StudentTTestData : public TTestMoments<Float64>
Float64 s2 = (all_x + all_y) / degrees_of_freedom;
Float64 std_err2 = 2.0 * s2 / m0;
/// t-statistic, squared
/// t-statistic
Float64 t_stat = (mean_x - mean_y) / sqrt(std_err2);
return {t_stat, getPValue(degrees_of_freedom, t_stat * t_stat)};

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@ -36,7 +36,7 @@ struct WelchTTestData : public TTestMoments<Float64>
Float64 sx2 = (x2 + m0 * mean_x * mean_x - 2 * mean_x * x1) / (m0 - 1);
Float64 sy2 = (y2 + m0 * mean_y * mean_y - 2 * mean_y * y1) / (m0 - 1);
/// t-statistic, squared
/// t-statistic
Float64 t_stat = (mean_x - mean_y) / sqrt(sx2 / m0 + sy2 / m0);
/// degrees of freedom