lec19.ipynb

Kernel: Python 3 (ipykernel)

# Set up packages for lecture. Don't worry about understanding this code, but
# make sure to run it if you're following along.
import numpy as np
import babypandas as bpd
import pandas as pd
from matplotlib_inline.backend_inline import set_matplotlib_formats
import matplotlib.pyplot as plt
set_matplotlib_formats("svg")
plt.style.use('ggplot')

np.set_printoptions(threshold=20, precision=2, suppress=True)
pd.set_option("display.max_rows", 7)
pd.set_option("display.max_columns", 8)
pd.set_option("display.precision", 2)

# Animations
from IPython.display import display, IFrame

def show_bootstrapping_slides():
    src = "https://docs.google.com/presentation/d/e/2PACX-1vS_iYHJYXSVMMZ-YQVFwMEFR6EFN3FDSAvaMyUm-YJfLQgRMTHm3vI-wWJJ5999eFJq70nWp2hyItZg/embed?start=false&loop=false&delayms=3000"
    width = 960
    height = 509
    display(IFrame(src, width, height))

Lecture 19 – Bootstrapping, Percentiles, and Confidence Intervals

DSC 10, Fall 2022

Announcements

• Homework 5 is due Tuesday 11/8 at 11:59pm.

• Lab 6 is due Saturday 11/12 at 11:59pm.

• We'll be releasing the Final Project this week.

  • Get a partner lined up! You don't have to work with your partner from the Midterm Project.

• Come hang out with your instructors:

  • On Wednesday 11/9 from 5-6pm in CSE 4140, come watch Suraj participate in "Professor Talks: Spicy Challenge 🌶" with faculty from CSE. See more details here.

  • On Tuesday 11/15 from 10-11am in the SDSC Auditorium, come talk to Janine, Suraj, and other HDSI faculty at the HDSI faculty/student mixer!

Agenda

• Bootstrapping.

• Percentiles.

• Confidence intervals.

Resources

• You may have noticed that we've quickly moved into much more theoretical material.

• Remember to read the textbook for more context and examples.

• Additionally, this site contains a helpful visual explanation of permutation testing.

Bootstrapping 🥾

City of San Diego employee salary data

All City of San Diego employee salary data is public. We are using the latest available data.

population = bpd.read_csv('data/2021_salaries.csv')
population

We only need the 'TotalWages' column, so let's get just that column.

population = population.get(['TotalWages'])
population

population.plot(kind='hist', bins=np.arange(0, 400000, 10000), density=True, ec='w', figsize=(10, 5),
                title='Distribution of Total Wages of San Diego City Employees in 2021');

The median salary

• We can use .median() to find the median salary of all city employees.

• This is not a random quantity.

population_median = population.get('TotalWages').median()
population_median

Let's be realistic...

• In practice, it is costly and time-consuming to survey all 12,000+ employees.

  • More generally, we can't expect to survey all members of the population we care about.

• Instead, we gather salaries for a random sample of, say, 500 people.

• Hopefully, the median of the sample is close to the median of the population.

In the language of statistics

• The full DataFrame of salaries is the population.

• We observe a sample of 500 salaries from the population.

• We want to determine the population median (a parameter), but we don't have the whole population, so instead we use the sample median (a statistic) as an estimate.

• Hopefully the sample median is close to the population median.

The sample median

Let's survey 500 employees at random. To do so, we can use the .sample method.

np.random.seed(38) # Magic to ensure that we get the same results every time this code is run.

# Take a sample of size 500.
my_sample = population.sample(500)
my_sample

We won't reassign my_sample at any point in this notebook, so it will always refer to this particular sample.

# Compute the sample median.
sample_median = my_sample.get('TotalWages').median()
sample_median

How confident are we that this is a good estimate?

• Our estimate depended on a random sample.

• If our sample was different, our estimate may have been different, too.

• How different could our estimate have been?

• Our confidence in the estimate depends on the answer to this question.

The sample median is random

• The sample median is a random number.

• It comes from some distribution, which we don't know.

• How different could our estimate have been, if we drew a different sample?

  • "Narrow" distribution $\Rightarrow$ not too different.

  • "Wide" distribution $\Rightarrow$ quite different.

• What is the distribution of the sample median?

An impractical approach

• One idea: repeatedly collect random samples of 500 from the population and compute their medians.

  • This is what we did in Lecture 14 to compute an empirical distribution of the sample mean of flight delays.

sample_medians = np.array([])
for i in np.arange(1000):
    median = population.sample(500).get('TotalWages').median()
    sample_medians = np.append(sample_medians, median)
sample_medians

(bpd.DataFrame()
 .assign(SampleMedians=sample_medians)
 .plot(kind='hist', density=True,
       bins=30, ec='w', figsize=(8, 5),
       title='Distribution of the Sample Median of 1000 Samples from the Population')
);

• This shows an empirical distribution of the sample median. It is an approximation of the true probability distribution of the sample median, based on 1000 samples.

The problem

• Drawing new samples like this is impractical.

  • If we were able to do this, why not just collect more data in the first place?

• Often, we can't ask for new samples from the population.

• Key insight: our original sample, my_sample, looks a lot like the population.

  • Their distributions are similar.

fig, ax = plt.subplots(figsize=(10, 5))
bins=np.arange(10_000, 300_000, 10_000)
population.plot(kind='hist', y='TotalWages', ax=ax, density=True, alpha=.75, bins=bins, ec='w')
my_sample.plot(kind='hist', y='TotalWages', ax=ax, density=True, alpha=.75, bins=bins, ec='w')
plt.legend(['Population', 'My Sample']);

Note that unlike the previous histogram we saw, this is depicting the distribution of the population and of one particular sample (my_sample), not the distribution of sample medians for 1000 samples.

The bootstrap

• Shortcut: Use the sample in lieu of the population.

  • The sample itself looks like the population.

  • So, resampling from the sample is kind of like sampling from the population.

  • The act of resampling from a sample is called bootstrapping or "the bootstrap" method.

• In our case specifically:

  • We have a sample of 500 salaries.

  • We want another sample of 500 salaries, but we can't draw from the population.

  • However, the original sample looks like the population.

  • So, let's just resample from the sample!

show_bootstrapping_slides()

To replace or not replace?

• Our goal when bootstrapping is to create a sample of the same size as our original sample.

• Let's repeatedly resample 3 numbers without replacement from an original sample of [1, 2, 3].

original = [1, 2, 3]
for i in np.arange(10):
    resample = np.random.choice(original, 3, replace=False)
    print("Resample: ", resample, "    Median: ", np.median(resample))

• Let's repeatedly resample 3 numbers with replacement from an original sample of [1, 2, 3].

original = [1, 2, 3]
for i in np.arange(10):
    resample = np.random.choice(original, 3, replace=True)
    print("Resample: ", resample, "    Median: ", np.median(resample))

• When we resample without replacement, resamples look just like the original samples.

• When we resample with replacement, resamples can have a different mean, median, max, and min than the original sample.

• So, we need to sample with replacement to ensure that our resamples can be different from the original sample.

Running the bootstrap

We can simulate the act of collecting new samples by sampling with replacement from our original sample, my_sample.

# Note that the population DataFrame doesn't appear anywhere here.
# This is all based on one sample.

n_resamples = 5000
boot_medians = np.array([])

for i in range(n_resamples):
    
    # Resample from my_sample WITH REPLACEMENT.
    resample = my_sample.sample(500, replace=True)
    
    # Compute the median.
    median = resample.get('TotalWages').median()
    
    # Store it in our array of medians.
    boot_medians = np.append(boot_medians, median)

boot_medians

Bootstrap distribution of the sample median

bpd.DataFrame().assign(BootstrapMedians=boot_medians).plot(kind='hist', density=True, bins=np.arange(60000, 85000, 1000), ec='w', figsize=(10, 5))
plt.scatter(population_median, 0.000004, color='blue', s=100, label='population median').set_zorder(2)
plt.legend();

• The population median (blue dot) is near the middle.

  • In reality, we'd never get to see this!

What's the point of bootstrapping?

We have a sample median wage:

my_sample.get('TotalWages').median()

With it, we can say that the population median wage is approximately $72,016, and not much else.

But by bootstrapping, we can generate an empirical distribution of the sample median:

(bpd.DataFrame()
 .assign(BootstrapMedians=boot_medians)
 .plot(kind='hist', density=True, bins=np.arange(60000, 85000, 1000), ec='w', figsize=(10, 5))
)
plt.legend();

which allows us to say things like

We think the population median wage is between $67,000 and $77,000.

Question: We could also say that we think the population median wage is between $70,000 and $75,000, or between $60,000 and $80,000. What range should we pick?

Percentiles

Mathematical definition

Let $p$ be a number between 0 and 100. The $p$th percentile of a collection is the smallest value in the collection that is at least as large as $p$% of all the values.

By this definition, any percentile between 0 and 100 can be computed for any collection of values and is always an element of the collection.

How to calculate percentiles using mathematical definition

Suppose there are $n$ elements in the collection. To find the $p$th percentile:

1. Sort the collection in increasing order.

2. Define $h$ to be $p\%$ of $n$:

$$h = \frac p{100} \cdot n$$

3. If $h$ is an integer, define $k = h$. Otherwise, let $k$ be the smallest integer greater than $h$.

4. Take the $k$th element of the sorted collection (start counting from 1, not 0).

Example

What is the 25th percentile of the array np.array([4, 10, 15, 21, 100])?

Click here to see the solution.

1. First, we need to sort the collection in increasing order. Conveniently, it's already sorted!
2. Define $h = \frac{p}{100} \cdot n$. Here, $p = 25$ and $n = 5$, so $h = \frac{25}{100} \cdot 5 = \frac{5}{4} = 1.25$.
3. Since 1.25 is not an integer, $k$ must be the smallest integer greater than 1.25, which is 2.
4. If we start counting at 1, the element at position 2 is 10, so the 25th percentile is 10.

Reflection

Consider the array from the previous slide, np.array([4, 10, 15, 21, 100]). Here's how our percentile formula works:

value	4	10	15	21	100
percentile	[0, 20]	(20, 40]	(40, 60]	(60, 80]	(80, 100]

For instance, the 8th percentile is 4, the 50th percentile (median) is 15, and the 79th percentile is 21.

Notice that in the table above, each of the 5 values owns an equal percentage (20%) of the range 0-100. 4 is the 20th percentile, but 10 is the 20.001st percentile.

Concept Check ✅ – Answer at cc.dsc10.com

What is the 70th percentile of the array np.array([70, 18, 56, 89, 55, 35, 10, 45])?

A. 35              B. 55              C. 56              D. 70              E. None of these

Calculating the percentile using our mathematical definition

def percentile(data, p):
    data = np.sort(data) # Returns a sorted copy of data.
    n = len(data)
    h = (p / 100) * n
    k = int(np.ceil(h)) # If h is an integer, this is h. Otherwise, it rounds up.
    return data[k - 1] # - 1 because Python is 0-indexed but regular math is 1-indexed.

example = np.array([70, 18, 56, 89, 55, 35, 10, 45])
percentile(example, 50)

percentile(example, 70)

Another definition of percentile

• The numpy package provides a function to calculate percentiles, np.percentile(array, p), which returns the pth percentile of array.

• np.percentile doesn't implement our version of percentile exactly, but for large arrays the two definitions are nearly the same.

• We'll usually use np.percentile since it's faster.

percentile(example, 50)

np.percentile(example, 50)

Confidence intervals

Using the bootstrapped distribution of sample medians

Earlier in the lecture, we generated a bootstrapped distribution of sample medians.

bpd.DataFrame().assign(BootstrapMedians=boot_medians).plot(kind='hist', density=True, bins=np.arange(60000, 85000, 1000), ec='w', figsize=(10, 5))
plt.scatter(population_median, 0.000004, color='blue', s=100, label='population median').set_zorder(2)
plt.legend();

What can we do with this distribution, now that we know about percentiles?

Using the bootstrapped distribution of sample medians

• We have a sample median, $72,016.

• As such, we think the population median is close to $72,016. However, we're not quite sure how close.

• How do we capture our uncertainty about this guess?

• 💡 Idea: Find a range that captures most (e.g. 95%) of the bootstrapped distribution of sample medians.

Confidence intervals

Let's be a bit more precise.

• Goal: estimate an unknown population parameter.

• We have been saying

We think the population parameter is close to our sample statistic, $x$.

• We want to say

We think the population parameter is between $a$ and $b$.

• To do this, we'll use the bootstrapped distribution of a sample statistic to compute an interval that contains "the bulk" of the sample statistics. Such an interval is called a confidence interval.

Finding endpoints

• We want to find two points, $x$ and $y$, such that:

  • The area to the left of $x$ is about 2.5%.

  • The area to the right of $y$ is about 2.5%.

• The interval $[x,y]$ will contain about 95% of the total area, i.e. 95% of the total values. As such, we will call $[x, y]$ a 95% confidence interval.

• $x$ and $y$ are the 2.5th percentile and 97.5th percentile, respectively.

Computing a confidence interval

boot_medians

# Left endpoint.
left = np.percentile(boot_medians, 2.5)
left

# Right endpoint.
right = np.percentile(boot_medians, 97.5)
right

# Therefore, our interval is:
[left, right]

You will use the code above very frequently moving forward!

Visualizing our 95% confidence interval

• Let's draw the interval we just computed on the histogram.

• 95% of the bootstrap medians fell into this interval.

bpd.DataFrame().assign(BootstrapMedians=boot_medians).plot(kind='hist', density=True, bins=np.arange(60000, 85000, 1000), ec='w', figsize=(10, 5), zorder=1)
plt.plot([left, right], [0, 0], color='gold', linewidth=12, label='95% confidence interval', zorder=2);
plt.scatter(population_median, 0.000004, color='blue', s=100, label='population median', zorder=3)
plt.legend();

• In this case, our 95% confidence interval (gold line) contains the true population parameter (blue dot).

  • It won't always, because you might have a bad original sample!

  • In reality, you won't know where the population parameter is, and so you won't know if your confidence interval contains it.

• Note that the histogram is not centered around the population median ($74,441), but it is centered around the sample median ($72,016).

Concept Check ✅ – Answer at cc.dsc10.com

We computed the following 95% confidence interval:

print('Interval:', [left, right])
print('Width:', right - left)

If we instead computed an 80% confidence interval, would it be wider or narrower?

A. Wider                  B. Narrower                  C. Impossible to tell

Reflection

Now, instead of saying

We think the population median is close to our sample median, $72,016.

We can say:

A 95% confidence interval for the population median is $67,081 to $76,383.

These endpoints may be slightly different than the endpoints we found, due to randomness.

Some lingering questions: What does 95% confidence mean? What are we confident about? Is this technique always "good"?

Summary, next time

Summary

• By bootstrapping a single sample, we can generate an empirical distribution of a sample statistic. This distribution gives us a sense of how different the sample statistic could have been if we had collected a different original sample.

• The $p$th percentile of a collection is the smallest value in the collection that is at least as large as $p$% of all the values.

• After using the bootstrap to generate the empirical distribution of a sample statistic, we can create a $c$% confidence interval by taking the middle $c$% of values of the bootstrapped distribution.

• Such an interval allows us to quantify the uncertainty in our estimate of a population parameter.

  • Instead of providing just a single estimate of a population parameter, e.g. $72,016, we can provide a range of estimates, e.g. $67,081 to $76,383.

  • Confidence intervals are used in a variety of fields to capture uncertainty. For instance, political researchers create confidence intervals for the proportion of votes their favorite candidate will receive, given a poll of voters.

Next time

We will:

• Give more context to what the confidence level of a confidence interval means.

• Look at statistics for which the bootstrap doesn't work well.

• Use confidence intervals for hypothesis testing.

• Start looking at measures of central tendency (mean, median, standard deviation).