MathBench > Statistical Tests

Goodness of Fit Tests

What's your threshold for pain?

shoes are too small If your shoes don't fit a little, they might cause a little pain, but not enough to pay attention to. But somewhere there's a threshold. If the shoe is too small, you go out and buy new ones.

model doesn't fit data In the same way, saying that something is only 30% likely to occur according to the null hypothesis, is not enough pain to say that the data does not fit the model. But there is a threshold, called a p-value (p stands for "probability", not "pain"). In fact, most scientists use a 5% threshold.

Usually when we talk about p-values, we're in the middle of doing some sort of statistics (like a t-test, a regression, or a chi-square test). But p-values work just as well for the brute-force simulation we're discussing here. The idea is, if the hypothesized process (in this case, random sickdays) produces the observed data less than 5% of the time, then the hypothesized process is probably NOT responsible for the data.

How could the 5% threshold be applied to the sickdays problems?


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I think I have the answer: If NO MORE THAN 5% of trials had 42
or more mon/fri sickdays, that would mean that having 42 mon/fri
sickdays was rare -- too rare to occur by our null hypothesis
of random sick days. It would support the bosses' hypothesis.

This-is-not-a-stupid-question question:

If you were following that closely, you realize that in order to show that the data fits the model, you need to show that the hypothesized process produces the observed data MORE THAN 5% of the time. On the other hand, if you are familiar with t-tests or regression, you know that a "good" result is one in which your value is LESS THAN the p-value.

The reason for this discrepancy is that with a t-test you are trying to DISPROVE the null hypothesis. In a goodness of fit test, you are trying to SUPPORT the null hypothesis. So:

t-test goal: disprove the null hypothesis want to go below the p-value
chi-square goal: show that the data fits the null hypothesis want to exceed the p-value