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In statistics, the p-value is a function of the observed sample results (a statistic) that is used for testing a statistical hypothesis. Before the test is performed, a threshold
value is chosen, called the signicance level of the test,
traditionally 5% or 1% [1] and denoted as . This threshold value is the proportion of false alarms that we are
willing to tolerate in our decision process.[2]
Important:
Pr (observation | hypothesis) Pr (hypothesis | observation)
The probability of observing a result given that some hypothesis
is true is not equivalent to the probability that a hypothesis is true
given that some result has been observed.
Basic concepts
Probability density
The p-value is used in the context of null hypothesis testing in order to quantify the idea of statistical signicance of evidence.[lower-alpha 1] Null hypothesis testing is
a reductio ad absurdum argument adapted to statistics.
In essence, a claim is shown to be valid by demonstrating
the improbability of the consequence that results from assuming the counter-claim to be true.
P-value
Very un-likely
observations
Very un-likely
observations
Observed
data point
Set of possible results
5 EXAMPLES
The p-value is dened as the probability, under the as- value, p value, P-value, P value, p-value, p value, P-value,
sumption of hypothesis H , of obtaining a result equal to and P value are all possible).
or more extreme than what was actually observed. Depending on how it is looked at, the more extreme than
what was actually observed can mean {X x} (right- 4 Calculation
tail event) or {X x} (left-tail event) or the smaller
of {X x} and {X x} (double-tailed event). Thus,
Usually, instead of the actual observations, X is instead a
the p-value is given by
test statistic. A test statistic is a scalar function of all the
observations, such as the average or the correlation coef P r(X x|H) for right tail event,
cient, which summarizes the characteristics of the data
by a single number, relevant to a particular inquiry. As
P r(X x|H) for left tail event,
such, the test statistic follows a distribution determined
2 min{P r(X x|H), P r(X x|H)} for double by the function used to dene that test statistic and the
tail event.
distribution of the observational data.
The smaller the p-value, the larger the signicance because it tells the investigator that the hypothesis under
consideration may not adequately explain the observation. The hypothesis H is rejected if any of these probabilities is less than or equal to a small, xed but arbitrarily
pre-dened threshold value , which is referred to as the
level of signicance. Unlike the p-value, the level is not
derived from any observational data and does not depend
on the underlying hypothesis; the value of is instead
determined by the consensus of the research community
that the investigator is working in.
Since the value of x that denes the left tail or right tail
event is a random variable, this makes the p-value a function of x and a random variable in itself dened uniformly
over [0, 1] interval, assuming x is continuous. Thus, the
p-value is not xed. This implies that p-value cannot be
given a frequency counting interpretation since the probability has to be xed for the frequency counting interpretation to hold. In other words, if a same test is repeated independently bearing upon the same overall null
hypothesis, it will yield dierent p-values at every repetition. Nevertheless, these dierent p-values can be combined using Fishers combined probability test. It should
further be noted that an instantiation of this random pvalue can still be given a frequency counting interpretation with respect to the number of observations taken during a given test, as per the denition, as the percentage of
observations more extreme than the one observed under
the assumption that the null hypothesis is true. Lastly, the
xed pre-dened level can be interpreted as the rate of
falsely rejecting the null hypothesis (or type I error), since
P r(Reject H|H) = P r(p ) = .
5 Examples
Here a few simple examples follow, each illustrating a poA more general interpretation is that the p-value is the tential pitfall.
lowest for which the null hypothesis can be rejected for
a given set of observations and for a family of rejection
5.1 One roll of a pair of dice
regions which are based on .
Suppose a researcher rolls a pair of dice once and assumes a null hypothesis that the dice are fair, not loaded
3 Styles for writing "p-value
or weighted toward any specic number/roll/result; uniform. The test statistic is the sum of the rolled numDepending on which style guide is applied, the p may or bers and is one-tailed. The researcher rolls the dice and
not be italicized, capitalized, or hyphenated (the forms p- observes that both dice show 6, yielding a test statistic
5.4
of 12. The p-value of this outcome is 1/36 (because under the assumption of the null hypothesis, the test statistic
is uniformly distributed) or about 0.028 (the highest test
statistic out of 66 = 36 possible outcomes). If the researcher assumed a signicance level of 0.05, this result
would be deemed signicant and the hypothesis that the
dice are fair would be rejected.
In this case, a single roll provides a very weak basis (that
is, insucient data) to draw a meaningful conclusion
about the dice. This illustrates the danger with blindly
applying p-value without considering the experiment design.
5.2
3
example).
This demonstrates that in interpreting p-values, one must
also know the sample size, which complicates the analysis.
By the rst test statistic, the data yield a high p-value, suggesting that the number of heads observed is not unlikely.
By the second test statistic, the data yield a low p-value,
suggesting that the pattern of ips observed is very, very
unlikely. There is no alternative hypothesis (so only rejection of the null hypothesis is possible) and such data
could have many causes. The data may instead be forged,
or the coin may be ipped by a magician who intentionThis demonstrates that specifying a direction (on a sym- ally alternated outcomes.
metric test statistic) halves the p-value (increases the signicance) and can mean the dierence between data be- This example demonstrates that the p-value depends
completely on the test statistic used and illustrates that
ing considered signicant or not.
p-values can only help researchers to reject a null hypothesis, not consider other hypotheses.
5.3
5.6
Coin ipping
HISTORY
binomial distribution makes that an unnecessary computation to nd the smaller of the two probabilities.
Here, the calculated p-value exceeds 0.05, so the observation is consistent with the null hypothesis, as it falls within
the range of what would happen 95% of the time were the
coin in fact fair. Hence, the null hypothesis at the 5% level
is not rejected. Although the coin did not fall evenly, the
deviation from expected outcome is small enough to be
consistent with chance.
However, had one more head been obtained, the resulting p-value (two-tailed) would have been 0.0414 (4.14%).
The null hypothesis (that the observed result of 15 heads
As an example of a statistical test, an experiment is per- out of 20 ips can be ascribed to chance alone) is rejected
formed to determine whether a coin ip is fair (equal when a 5% cut-o is used.
chance of landing heads or tails) or unfairly biased (one
outcome being more likely than the other).
Main article: Checking whether a coin is fair
Suppose that the experimental results show the coin turning up heads 14 times out of 20 total ips. The null hypothesis is that the coin is fair, and the test statistic is the
number of heads. If a right-tailed test is considered, the
p-value of this result is the chance of a fair coin landing
on heads at least 14 times out of 20 ips. That probability
can be computed from binomial coecients as
6 History
The p-value was rst formally introduced by Karl Pearson, in his Pearsons chi-squared test,[8] using the chisquared distribution and notated as capital P.[8] The pvalues for the chi-squared distribution (for various values of 2 and degrees of freedom), now notated as P,
was calculated in (Elderton 1902), collected in (Pearson
1914, pp. xxxixxxiii, 2628, Table XII). The use
of the p-value in statistics was popularized by Ronald
Fisher,[9] and it plays a central role in Fishers approach
to statistics.[10]
In his inuential book Statistical Methods for Research
Workers (1925), Fisher proposes the level p = 0.05, or a 1
in 20 chance of being exceeded by chance, as a limit for
statistical signicance, and applies this to a normal distribution (as a two-tailed test), thus yielding the rule of two
standard deviations (on a normal distribution) for statistical signicance (see 689599.7 rule).[11][lower-alpha 4][12]
5
(especially 0.05, 0.02, and 0.01) as cutos, instead of 7 Misunderstandings
computing and reporting p-values themselves. The same
type of tables were then compiled in (Fisher & Yates See also: Condence interval Misunderstandings
1938), which cemented the approach.[12]
As an illustration of the application of p-values to the design and interpretation of experiments, in his following
book The Design of Experiments (1935), Fisher presented
the lady tasting tea experiment,[14] which is the archetypal
example of the p-value.
To evaluate a ladys claim that she (Muriel Bristol) could
distinguish by taste how tea is prepared (rst adding the
milk to the cup, then the tea, or rst tea, then milk), she
was sequentially presented with 8 cups: 4 prepared one
way, 4 prepared the other, and asked to determine the
preparation of each cup (knowing that there were 4 of
each). In that case, the null hypothesis was that she had
no special ability,
( )the test was Fishers exact test, and the
p-value was 1/ 84 = 1/70 0.014, so Fisher was willing to reject the null hypothesis (consider the outcome
highly unlikely to be due to chance) if all were classied correctly. (In the actual experiment, Bristol correctly
classied all 8 cups.)
11 NOTES
product of chance alone. Thus, the probability that
the result is due to chance is in fact unity. The phrase
the results are due to chance is used to mean that
the null hypothesis is probably correct. However,
that is merely a restatement of the inverse probability fallacy since the p-value cannot be used to gure
out the probability of a hypothesis being true.
5. The signicance level, such as 0.05, is not determined by the p-value. Rather, the signicance
level is decided by the person conducting the experiment (with the value 0.05 widely used by the scientic community) before the data are viewed, and
it is compared against the calculated p-value after
the test has been performed. (However, reporting
a p-value is more useful than simply saying that the
results were or were not signicant at a given level
and allows readers to decide for themselves whether
to consider the results signicant.)
6. The p-value does not indicate the size or importance of the observed eect. The two vary
together, however, and the larger the eect, the
smaller the sample size that will be required to get a
signicant p-value (see eect size).
Criticisms
10 See also
Condence interval
Counternull
False discovery rate
Fishers method of combining p-values
Generalized p-value
Multiple comparisons
Null hypothesis
p-rep
Statistical hypothesis testing
P-hacking
11 Notes
[1] Note that the statistical signicance of a result does not
imply that the result is scientically signicant as well.
[2] It should be noted that a statistical hypothesis is conceptually dierent from a scientic hypothesis.
[3] Odds of TT is (0.01)2 , odds of HT and TH are 0.99
0.01 and 0.01 0.99, which are equal, and adding these
yield 0.012 + 2 0.01 0.99 = 0.0199
[4] To be precise the p = 0.05 corresponds to about 1.96 standard deviations for a normal distribution (two-tailed test),
and 2 standard deviations corresponds to about a 1 in 22
chance of being exceeded by chance, or p 0.045; Fisher
notes these approximations.
12
References
[4] Wetzels, R.; Matzke, D.; Lee, M. D.; Rouder, J. N.; Iverson, G. J.; Wagenmakers, E. -J. (2011). Statistical Evidence in Experimental Psychology: An Empirical Comparison Using 855 t Tests. Perspectives on Psychological
Science 6 (3): 291. doi:10.1177/1745691611406923.
13 Further reading
Pearson, Karl (1900). On the criterion that
a given system of deviations from the probable
in the case of a correlated system of variables
is such that it can be reasonably supposed to
have arisen from random sampling (PDF). Philosophical Magazine Series 5 50 (302): 157175.
doi:10.1080/14786440009463897.
Elderton, William Palin (1902).
Tables for
Testing the Goodness of Fit of Theory to
Observation.
Biometrika 1 (2): 155163.
doi:10.1093/biomet/1.2.155.
Fisher, Ronald (1925). Statistical Methods for Research Workers. Edinburgh: Oliver & Boyd. ISBN
0-05-002170-2.
Fisher, Ronald A. (1971) [1935]. The Design of
Experiments (9th ed.). Macmillan. ISBN 0-02844690-9.
Fisher, R. A.; Yates, F. (1938). Statistical tables for
biological, agricultural and medical research. London.
Stigler, Stephen M. (1986). The history of statistics :
the measurement of uncertainty before 1900. Cambridge, Mass: Belknap Press of Harvard University
Press. ISBN 0-674-40340-1.
[19] Casella, George; Berger, Roger L. (1987). Reconciling Bayesian and Frequentist Evidence in
the One-Sided Testing Problem.
Journal of the
American Statistical Association 82 (397): 106111.
doi:10.1080/01621459.1987.10478396.
14
Hubbard, Raymond; Lindsay, R. Murray (2008).
Why P Values Are Not a Useful Measure
of Evidence in Statistical Signicance Testing
(PDF). Theory & Psychology 18 (1): 6988.
doi:10.1177/0959354307086923.
Stigler, S. (December 2008). Fisher and the 5%
level. Chance 21 (4): 12. doi:10.1007/s00144008-0033-3.
Dallal, Gerard E. (2012). The Little Handbook of
Statistical Practice.
13.1
Links
14
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