binom_conf_interval

astropy.stats.binom_conf_interval(k, n, conf=0.68269, interval='wilson')[source] [edit on github]

Binomial proportion confidence interval given k successes, n trials.

Parameters:

k : int or numpy.ndarray

Number of successes (0 <= k <= n).

n : int or numpy.ndarray

Number of trials (n > 0). If both k and n are arrays, they must have the same shape.

conf : float in [0, 1], optional

Desired probability content of interval. Default is 0.68269, corresponding to 1 sigma in a 1-dimensional Gaussian distribution.

interval : {‘wilson’, ‘jeffreys’, ‘flat’, ‘wald’}, optional

Formula used for confidence interval. See notes for details. The 'wilson' and 'jeffreys' intervals generally give similar results, while ‘flat’ is somewhat different, especially for small values of n. 'wilson' should be somewhat faster than 'flat' or 'jeffreys'. The ‘wald’ interval is generally not recommended. It is provided for comparison purposes. Default is 'wilson'.

Returns:

conf_interval : numpy.ndarray

conf_interval[0] and conf_interval[1] correspond to the lower and upper limits, respectively, for each element in k, n.

Notes

In situations where a probability of success is not known, it can be estimated from a number of trials (N) and number of observed successes (k). For example, this is done in Monte Carlo experiments designed to estimate a detection efficiency. It is simple to take the sample proportion of successes (k/N) as a reasonable best estimate of the true probability \(\epsilon\). However, deriving an accurate confidence interval on \(\epsilon\) is non-trivial. There are several formulas for this interval (see [R39]). Four intervals are implemented here:

1. The Wilson Interval. This interval, attributed to Wilson [R40], is given by

\[CI_{\rm Wilson} = \frac{k + \kappa^2/2}{N + \kappa^2} \pm \frac{\kappa n^{1/2}}{n + \kappa^2} ((\hat{\epsilon}(1 - \hat{\epsilon}) + \kappa^2/(4n))^{1/2}\]

where \(\hat{\epsilon} = k / N\) and \(\kappa\) is the number of standard deviations corresponding to the desired confidence interval for a normal distribution (for example, 1.0 for a confidence interval of 68.269%). For a confidence interval of 100(1 - \(\alpha\))%,

\[\kappa = \Phi^{-1}(1-\alpha/2) = \sqrt{2}{\rm erf}^{-1}(1-\alpha).\]

2. The Jeffreys Interval. This interval is derived by applying Bayes’ theorem to the binomial distribution with the noninformative Jeffreys prior [R41], [R42]. The noninformative Jeffreys prior is the Beta distribution, Beta(1/2, 1/2), which has the density function

\[f(\epsilon) = \pi^{-1} \epsilon^{-1/2}(1-\epsilon)^{-1/2}.\]

The justification for this prior is that it is invariant under reparameterizations of the binomial proportion. The posterior density function is also a Beta distribution: Beta(k + 1/2, N - k + 1/2). The interval is then chosen so that it is equal-tailed: Each tail (outside the interval) contains \(\alpha\)/2 of the posterior probability, and the interval itself contains 1 - \(\alpha\). This interval must be calculated numerically. Additionally, when k = 0 the lower limit is set to 0 and when k = N the upper limit is set to 1, so that in these cases, there is only one tail containing \(\alpha\)/2 and the interval itself contains 1 - \(\alpha\)/2 rather than the nominal 1 - \(\alpha\).

3. A Flat prior. This is similar to the Jeffreys interval, but uses a flat (uniform) prior on the binomial proportion over the range 0 to 1 rather than the reparametrization-invariant Jeffreys prior. The posterior density function is a Beta distribution: Beta(k + 1, N - k + 1). The same comments about the nature of the interval (equal-tailed, etc.) also apply to this option.

4. The Wald Interval. This interval is given by

\[CI_{\rm Wald} = \hat{\epsilon} \pm \kappa \sqrt{\frac{\hat{\epsilon}(1-\hat{\epsilon})}{N}}\]

The Wald interval gives acceptable results in some limiting cases. Particularly, when N is very large, and the true proportion \(\epsilon\) is not “too close” to 0 or 1. However, as the later is not verifiable when trying to estimate \(\epsilon\), this is not very helpful. Its use is not recommended, but it is provided here for comparison purposes due to its prevalence in everyday practical statistics.

References

[R39](1, 2) Brown, Lawrence D.; Cai, T. Tony; DasGupta, Anirban (2001). “Interval Estimation for a Binomial Proportion”. Statistical Science 16 (2): 101-133. doi:10.1214/ss/1009213286
[R40](1, 2) Wilson, E. B. (1927). “Probable inference, the law of succession, and statistical inference”. Journal of the American Statistical Association 22: 209-212.
[R41](1, 2) Jeffreys, Harold (1946). “An Invariant Form for the Prior Probability in Estimation Problems”. Proc. R. Soc. Lond.. A 24 186 (1007): 453-461. doi:10.1098/rspa.1946.0056
[R42](1, 2) Jeffreys, Harold (1998). Theory of Probability. Oxford University Press, 3rd edition. ISBN 978-0198503682

Examples

Integer inputs return an array with shape (2,):

>>> binom_conf_interval(4, 5, interval='wilson')
array([ 0.57921724,  0.92078259])

Arrays of arbitrary dimension are supported. The Wilson and Jeffreys intervals give similar results, even for small k, N:

>>> binom_conf_interval([0, 1, 2, 5], 5, interval='wilson')
array([[ 0.        ,  0.07921741,  0.21597328,  0.83333304],
       [ 0.16666696,  0.42078276,  0.61736012,  1.        ]])
>>> binom_conf_interval([0, 1, 2, 5], 5, interval='jeffreys')
array([[ 0.        ,  0.0842525 ,  0.21789949,  0.82788246],
       [ 0.17211754,  0.42218001,  0.61753691,  1.        ]])
>>> binom_conf_interval([0, 1, 2, 5], 5, interval='flat')
array([[ 0.        ,  0.12139799,  0.24309021,  0.73577037],
       [ 0.26422963,  0.45401727,  0.61535699,  1.        ]])

In contrast, the Wald interval gives poor results for small k, N. For k = 0 or k = N, the interval always has zero length.

>>> binom_conf_interval([0, 1, 2, 5], 5, interval='wald')
array([[ 0.        ,  0.02111437,  0.18091075,  1.        ],
       [ 0.        ,  0.37888563,  0.61908925,  1.        ]])

For confidence intervals approaching 1, the Wald interval for 0 < k < N can give intervals that extend outside [0, 1]:

>>> binom_conf_interval([0, 1, 2, 5], 5, interval='wald', conf=0.99)
array([[ 0.        , -0.26077835, -0.16433593,  1.        ],
       [ 0.        ,  0.66077835,  0.96433593,  1.        ]])