Class MannWhitneyUTest

java.lang.Object
org.apache.commons.statistics.inference.MannWhitneyUTest

public final class MannWhitneyUTest extends Object
Implements the Mann-Whitney U test (also called Wilcoxon rank-sum test).
Since:
1.1
See Also:
  • Nested Class Summary

    Nested Classes
    Modifier and Type
    Class
    Description
    static final class 
    Result for the Mann-Whitney U test.
  • Field Summary

    Fields
    Modifier and Type
    Field
    Description
    private final AlternativeHypothesis
    Alternative hypothesis.
    private static final int
    Limit on sample size for the exact p-value computation for the auto mode.
    private static SoftReference<double[][][]>
    A reference to a previously computed storage for f.
    private final boolean
    Perform continuity correction.
    private static final MannWhitneyUTest
    Default instance.
    private static final Object
    An object to use for synchonization when accessing the cache of F.
    private final double
    Expected location shift.
    private final PValueMethod
    Method to compute the p-value.
    private static final RankingAlgorithm
    Ranking instance.
    private static final double
    Value for an unset f computation.
  • Constructor Summary

    Constructors
    Modifier
    Constructor
    Description
    private
    MannWhitneyUTest(AlternativeHypothesis alternative, PValueMethod method, boolean continuityCorrection, double mu)
     
  • Method Summary

    Modifier and Type
    Method
    Description
    private double
    calculateAsymptoticPValue(double u, int n1, int n2, double c)
    Calculate the asymptotic p-value using a Normal approximation.
    (package private) static double
    calculateExactPValue(double u, int m, int n, AlternativeHypothesis alternative)
    Calculate the exact p-value.
    private static double
    cdf(int u1, int u2, int m, int n, double binom)
    Compute the cumulative density function of the Mann-Whitney U1 statistic.
    private static void
    checkSamples(double[] x, double[] y)
    Ensures that the provided arrays fulfil the assumptions.
    private static double
    computeCdf(int k, int m, int n, double binom)
    Compute the cumulative density function of the Mann-Whitney U statistic.
    private static double[]
    concatenateSamples(double mu, double[] x, double[] y)
    Concatenate the samples into one array.
    private static double
    fmnk(double[][][] f, int m, int n, int k)
    Compute f(m; n; k), the number of subsets of {0; 1; ...; n} with m elements such that the elements of this subset add up to k.
    private static double[][][]
    getF(int m, int n, int k)
    Gets the storage for f(m, n, k).
    private static void
    initialize(double[] fmn)
    Initialize the array for f(m, n, x).
    private static double
    sf(int u1, int u2, int m, int n, double binom)
    Compute the survival function of the Mann-Whitney U1 statistic.
    double
    statistic(double[] x, double[] y)
    Computes the Mann-Whitney U statistic comparing two independent samples possibly of different length.
    test(double[] x, double[] y)
    Performs a Mann-Whitney U test comparing the location for two independent samples.
    Return an instance with the configured alternative hypothesis.
    Return an instance with the configured continuity correction.
    Return an instance with the configured p-value method.
    Return an instance using the default options.
    withMu(double v)
    Return an instance with the configured location shift mu.

    Methods inherited from class java.lang.Object

    clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
  • Field Details

    • AUTO_LIMIT

      private static final int AUTO_LIMIT
      Limit on sample size for the exact p-value computation for the auto mode.
      See Also:
    • RANKING

      private static final RankingAlgorithm RANKING
      Ranking instance.
    • UNSET

      private static final double UNSET
      Value for an unset f computation.
      See Also:
    • LOCK

      private static final Object LOCK
      An object to use for synchonization when accessing the cache of F.
    • cacheF

      private static SoftReference<double[][][]> cacheF
      A reference to a previously computed storage for f. Use of a SoftReference ensures this is garbage collected before an OutOfMemoryError. The value should only be accessed, checked for size and optionally modified when holding the lock. When the storage is determined to be the correct size it can be returned for read/write to the array when not holding the lock.
    • DEFAULT

      private static final MannWhitneyUTest DEFAULT
      Default instance.
    • alternative

      private final AlternativeHypothesis alternative
      Alternative hypothesis.
    • pValueMethod

      private final PValueMethod pValueMethod
      Method to compute the p-value.
    • continuityCorrection

      private final boolean continuityCorrection
      Perform continuity correction.
    • mu

      private final double mu
      Expected location shift.
  • Constructor Details

    • MannWhitneyUTest

      private MannWhitneyUTest(AlternativeHypothesis alternative, PValueMethod method, boolean continuityCorrection, double mu)
      Parameters:
      alternative - Alternative hypothesis.
      method - P-value method.
      continuityCorrection - true to perform continuity correction.
      mu - Expected location shift.
  • Method Details

    • withDefaults

      public static MannWhitneyUTest withDefaults()
      Returns:
      default instance
    • with

      Return an instance with the configured alternative hypothesis.
      Parameters:
      v - Value.
      Returns:
      an instance
    • with

      public MannWhitneyUTest with(PValueMethod v)
      Return an instance with the configured p-value method.
      Parameters:
      v - Value.
      Returns:
      an instance
      Throws:
      IllegalArgumentException - if the value is not in the allowed options or is null
    • with

      Return an instance with the configured continuity correction.

      If ENABLED, adjust the U rank statistic by 0.5 towards the mean value when computing the z-statistic if a normal approximation is used to compute the p-value.

      Parameters:
      v - Value.
      Returns:
      an instance
    • withMu

      public MannWhitneyUTest withMu(double v)
      Return an instance with the configured location shift mu.
      Parameters:
      v - Value.
      Returns:
      an instance
      Throws:
      IllegalArgumentException - if the value is not finite
    • statistic

      public double statistic(double[] x, double[] y)
      Computes the Mann-Whitney U statistic comparing two independent samples possibly of different length.

      This statistic can be used to perform a Mann-Whitney U test evaluating the null hypothesis that the two independent samples differ by a location shift of mu.

      This returns the U1 statistic. Compute the U2 statistic using:

       u2 = (long) x.length * y.length - u1;
       
      Parameters:
      x - First sample values.
      y - Second sample values.
      Returns:
      Mann-Whitney U1 statistic
      Throws:
      IllegalArgumentException - if x or y are zero-length; or contain NaN values.
      See Also:
    • test

      public MannWhitneyUTest.Result test(double[] x, double[] y)
      Performs a Mann-Whitney U test comparing the location for two independent samples. The location is specified using mu.

      The test is defined by the AlternativeHypothesis.

      • 'two-sided': the distribution underlying (x - mu) is not equal to the distribution underlying y.
      • 'greater': the distribution underlying (x - mu) is stochastically greater than the distribution underlying y.
      • 'less': the distribution underlying (x - mu) is stochastically less than the distribution underlying y.

      If the p-value method is auto an exact p-value is computed if the samples contain less than 50 values; otherwise a normal approximation is used.

      Computation of the exact p-value is only valid if there are no tied ranks in the data; otherwise the p-value resorts to the asymptotic approximation using a tie correction and an optional continuity correction.

      Note: Exact computation requires tabulation of values not exceeding size (n+1)*(m+1)*(u+1) where u is the minimum of the U1 and U2 statistics and n and m are the sample sizes. This may use a very large amount of memory and result in an OutOfMemoryError. Exact computation requires a finite binomial coefficient binom(n+m, m) which is limited to n+m <= 1029 for any n and m, or min(n, m) <= 37 for any max(n, m). An OutOfMemoryError is not expected using the limits configured for the auto p-value computation as the maximum required memory is approximately 23 MiB.

      Parameters:
      x - First sample values.
      y - Second sample values.
      Returns:
      test result
      Throws:
      IllegalArgumentException - if x or y are zero-length; or contain NaN values.
      OutOfMemoryError - if the exact computation is user-requested for large samples and there is not enough memory.
      See Also:
    • checkSamples

      private static void checkSamples(double[] x, double[] y)
      Ensures that the provided arrays fulfil the assumptions.
      Parameters:
      x - First sample values.
      y - Second sample values.
      Throws:
      IllegalArgumentException - if x or y are zero-length.
    • concatenateSamples

      private static double[] concatenateSamples(double mu, double[] x, double[] y)
      Concatenate the samples into one array. Subtract mu from the first sample.
      Parameters:
      mu - Expected difference between means.
      x - First sample values.
      y - Second sample values.
      Returns:
      concatenated array
    • calculateAsymptoticPValue

      private double calculateAsymptoticPValue(double u, int n1, int n2, double c)
      Calculate the asymptotic p-value using a Normal approximation.
      Parameters:
      u - Mann-Whitney U value.
      n1 - Number of subjects in first sample.
      n2 - Number of subjects in second sample.
      c - Tie-correction
      Returns:
      two-sided asymptotic p-value
    • calculateExactPValue

      static double calculateExactPValue(double u, int m, int n, AlternativeHypothesis alternative)
      Calculate the exact p-value. If the value cannot be computed this returns -1.

      Note: Computation may run out of memory during array allocation, or method recursion.

      Parameters:
      u - Mann-Whitney U value.
      m - Number of subjects in first sample.
      n - Number of subjects in second sample.
      alternative - Alternative hypothesis.
      Returns:
      exact p-value (or -1) (two-sided, greater, or less using the options)
    • cdf

      private static double cdf(int u1, int u2, int m, int n, double binom)
      Compute the cumulative density function of the Mann-Whitney U1 statistic. The U2 statistic is passed for convenience to exploit symmetry in the distribution.
      Parameters:
      u1 - Mann-Whitney U1 statistic
      u2 - Mann-Whitney U2 statistic
      m - First sample size.
      n - Second sample size.
      binom - binom(n+m, m) (must be finite)
      Returns:
      Pr(X <= k)
    • sf

      private static double sf(int u1, int u2, int m, int n, double binom)
      Compute the survival function of the Mann-Whitney U1 statistic. The U2 statistic is passed for convenience to exploit symmetry in the distribution.
      Parameters:
      u1 - Mann-Whitney U1 statistic
      u2 - Mann-Whitney U2 statistic
      m - First sample size.
      n - Second sample size.
      binom - binom(n+m, m) (must be finite)
      Returns:
      Pr(X > k)
    • computeCdf

      private static double computeCdf(int k, int m, int n, double binom)
      Compute the cumulative density function of the Mann-Whitney U statistic.

      This should be called with the lower of U1 or U2 for computational efficiency.

      Uses the recursive formula provided in Bucchianico, A.D, (1999) Combinatorics, computer algebra and the Wilcoxon-Mann-Whitney test, Journal of Statistical Planning and Inference, Volume 79, Issue 2, 349-364.

      Parameters:
      k - Mann-Whitney U statistic
      m - First sample size.
      n - Second sample size.
      binom - binom(n+m, m) (must be finite)
      Returns:
      Pr(X <= k)
    • getF

      private static double[][][] getF(int m, int n, int k)
      Gets the storage for f(m, n, k).

      This may be cached for performance.

      Parameters:
      m - M.
      n - N.
      k - K.
      Returns:
      the storage for f
    • initialize

      private static void initialize(double[] fmn)
      Initialize the array for f(m, n, x). Set value to 1 for x=0; otherwise UNSET.
      Parameters:
      fmn - Array.
    • fmnk

      private static double fmnk(double[][][] f, int m, int n, int k)
      Compute f(m; n; k), the number of subsets of {0; 1; ...; n} with m elements such that the elements of this subset add up to k.

      The function is computed recursively.

      Parameters:
      f - Tabulated values of f[m][n][k].
      m - M
      n - N
      k - K
      Returns:
      f(m; n; k)