Gejun's Blog

To Err is Human: Decoding Type I and Type II Error

Unveiling the Truth Behind Statistical Decisions

Red Marble Proportion Estimation

\[H_0: p = 0.5\] \[H_a: p \neq 0.5\]

set.seed(7595)
n = 100
one_sample = sample(marbles, n)
p_hat = mean(one_sample == red_marble)
print(str_glue("Percentage of red marbles: {p_hat * 100}%"))

Percentage of red marbles: 58%

z_score = (p_hat - 0.5) / sqrt(0.5 * (1 - 0.5) / n)
print(str_glue("z-score: {round(z_score, 3)}"))

z-score: 1.6

p_val = (1 - pnorm(p_hat, mean = 0.5, sd = 0.05)) * 2
print(str_glue("p-value: {round(p_val, 3)}"))

p-value: 0.11

Since \(-1.96 < 1.6 < 1.96\) or \(0.11 > 0.05\), we fail to reject the null hypothesis at the 0.05 level and conclude that the proportion of red marbles is 50%.

Type I and II Errors

	\(H_0\) is true	\(H_0\) is false
Reject \(H_0\)	Type I error	Correct decision
Fail to reject \(H_0\)	Correct decision	Type II error

Practice (1)

\(H_0\) : the beverage is fine to drink
\(H_a\) : the beverage is too hot to drink
Type I error: You think the beverage is too hot so you decide to wait, but by the time you drink it, it’s too cold.
Type II error: You decide the beverage is fine to drink now, but it’s too hot and you burn your tongue.

Practice (2)

\(H_0\): the new drug has no effect on the disease
\(H_a\): the new drug has effect on the disease
Type I error: the results of the experiment wrongly suggest that the drug is effective.
Type II error: the results shows no effect on the disease while the drug is effective.

Practice (3)

\(H_0\): The patient does not have the condition.
\(H_a\): The patient has the condition.
Type I error: A healthy patient is diagnosed with the condition (False Positive).
Type II error: A sick patient is diagnosed as healthy (False Negative).

Type I Error Probability

\[\text{Prob}(\text{Reject } H_0 \mid H_0 \text{ is true}) = \alpha\]

critical_region_plot(0.5, 0.05)

Type II Error Probability

\[\text{Prob}(\text{Do not reject } H_0 \mid \mu = \hat p)\]

Type II Error Probability

se = sqrt(p_hat * (1 - p_hat) / n)
p1 +
  stat_function(fun = dnorm, args = list(mean = p_hat, sd = se), color = "blue") +
  geom_vline(xintercept = p_hat, color = "blue", linetype = "dashed") +
  geom_point(x = p_hat, y = 0, color = "blue", size = 3)

Type II Error Probability

ls = 0.5 - 1.96 * 0.05
rs = 0.5 + 1.96 * 0.05

p2=p1 + stat_function(fun = dnorm, args = list(mean = p_hat, sd = se), color = "blue") +
  stat_function(fun = function(x) dnorm(x, p_hat, se), 
                xlim = c(ls, rs), fill = "gray50", geom = "area") +
  geom_vline(xintercept = p_hat, color = "blue", linetype = "dashed") +
  geom_point(x = p_hat, y = 0, color = "blue", size = 3) + 
  annotate("text", x = 0.545, y = 2, label = "Type II Error", color = "white")
p2

prob = pnorm(rs, mean = p_hat, sd = se) - pnorm(ls, mean = p_hat, sd = se)
print(str_glue("Prob(Type II Error) = {round(prob, 3)}"))

Prob(Type II Error) = 0.642

Statistical Power

The Power of a test is the probability of rejecting a false null hypothesis.

\[\text{Power} = \text{Prob}(\text{Reject } H_0 \mid \mu = \hat p) = 1 - \text{Prob(Type II Error)}\]

power = 1 - prob
print(str_glue("Power = {round(power, 3)}"))

Power = 0.358

Another Example

p_hat = 0.69; se = sqrt(p_hat * (1 - p_hat) / n)
p3 = p + stat_function(fun = dnorm, args = list(mean = p_hat, sd = se), color = "blue") +
  stat_function(fun = function(x) dnorm(x, p_hat, se), 
                xlim = c(ls, rs), fill = "gray50", geom = "area") +
  geom_vline(xintercept = 0.69, color = "blue", linetype = "dashed") +
  geom_point(x = 0.69, y = 0, color = "blue", size = 3)
p3

prob = pnorm(rs, mean = p_hat, sd = se) - pnorm(ls, mean = p_hat, sd = se)
power = 1 - prob
print(str_glue("Prob(Type II Error) = {round(prob, 3)}; Power = {round(power, 3)}"))

Prob(Type II Error) = 0.023; Power = 0.977

Power and Sample Size

\[\bar X \sim \mathcal{N}(\mu, \frac{\sigma^2}{n})\]

n = 100
se = sqrt(0.5 * (1 - 0.5) / n)
print(str_glue("Standard Error (n = {n}) = {round(se, 3)}"))

Standard Error (n = 100) = 0.05

n = 400
se = sqrt(0.5 * (1 - 0.5) / n)
print(str_glue("Standard Error (n = {n}) = {round(se, 3)}"))

Standard Error (n = 400) = 0.025

Power and Sample Size

n = 400
p_hat = 0.58
se = sqrt(p_hat * (1 - p_hat) / n)

ls = 0.5 - 1.96 * sqrt(0.5 * (1 - 0.5) / n)
rs = 0.5 + 1.96 * sqrt(0.5 * (1 - 0.5) / n)

p4 = critical_region_plot(0.5, sqrt(0.5 * (1 - 0.5) / n)) + 
  geom_vline(xintercept = 0.5, color = "black", linetype="dashed") +
  geom_point(x = 0.58, y = 0, color = "blue", size = 3) + 
  stat_function(fun = dnorm, args = list(mean = p_hat, sd = se), color = "blue") +
  stat_function(fun = function(x) dnorm(x, p_hat, se), 
                xlim = c(ls, rs), fill = "gray50", geom = "area") +
  geom_vline(xintercept = p_hat, color = "blue", linetype = "dashed") +
  geom_point(x = p_hat, y = 0, color = "blue", size = 3) + 
  annotate("text", x = 0.535, y = 0.5, label = "Type II Error", color = "white")
p4

Power and Sample Size

prob = pnorm(rs, mean = p_hat, sd = se) - pnorm(ls, mean = p_hat, sd = se)
power = 1 - prob
print(str_glue("Prob(Type II Error) = {round(prob, 3)}; Power = {round(power, 3)}"))

Prob(Type II Error) = 0.105; Power = 0.895

Trade-off between Type I and II Errors

\(\alpha\) is set before the experiment.
Typical values for \(\alpha\) are 0.05 and 0.01.

Trade-off between Type I and II Errors

Decreasing \(\alpha\) increases \(\beta\).

Trade-off between Type I and II Errors

Increasing sample size decreases \(\beta\).
Typical values for \(\beta\) are 0.2 and 0.1.