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The goodness of fit of a statistical model describes how well it fits a set of observations.
Measures of goodness of fit typically summarize the discrepancy between observed values and
the values expected under the model in question. Such measures can be used in statistical
hypothesis testing, e.g. to test for normality of residuals, to test whether two samples are drawn
from identical distributions (see KolmogorovSmirnov test), or whether outcome frequencies
follow a specified distribution (see Pearson's chi-squared test). In the analysis of variance, one of
the components into which the variance is partitioned may be a lack-of-fit sum of squares.
Contents
[hide]
1 Fit of distributions
2 Regression analysis
2.1 Example
3 Categorical data
3.1 Pearson's chi-squared test
3.1.1 Example: equal frequencies of men and women
5 See also
6 References
Fit of distributions[edit]
In assessing whether a given distribution is suited to a data-set, the following tests and their
underlying measures of fit can be used:
KolmogorovSmirnov test;
AndersonDarling test;
ShapiroWilk test;
HosmerLemeshow test;
Regression analysis[edit]
In regression analysis, the following topics relate to goodness of fit:
Example[edit]
One way in which a measure of goodness of fit statistic can be constructed, in the case where
the variance of the measurement error is known, is to construct a weighted sum of squared
errors:
where
is the known variance of the observation, O is the observed data and E is the
theoretical data.[1] This definition is only useful when one has estimates for the error on the
measurements, but it leads to a situation where a chi-squared distribution can be used to test
goodness of fit, provided that the errors can be assumed to have a normal distribution.
The reduced chi-squared statistic is simply the chi-squared divided by the number of degrees of
freedom:[1][2][3][4]
Categorical data[edit]
The following are examples that arise in the context of categorical data.
where:
Oi = an observed frequency (i.e. count) for bin i
Ei = an expected (theoretical) frequency for bin i, asserted by the null hypothesis.
The expected frequency is calculated by:
where:
F = the cumulative Distribution function for the distribution being tested.
Yu = the upper limit for class i,
Yl = the lower limit for class i, and
N = the sample size
The resulting value can be compared to the chi-squared distribution to determine the goodness
of fit. In order to determine the degrees of freedom of the chi-squared distribution, one takes the
total number of observed frequencies and subtracts the number of estimated parameters. The
test statistic follows, approximately, a chi-square distribution with (k c) degrees of freedom
where k is the number of non-empty cells and c is the number of estimated parameters (including
location and scale parameters and shape parameters) for the distribution.
Example: equal frequencies of men and women[edit]
For example, to test the hypothesis that a random sample of 100 people has been drawn from a
population in which men and women are equal in frequency, the observed number of men and
women would be compared to the theoretical frequencies of 50 men and 50 women. If there
were 44 men in the sample and 56 women, then
If the null hypothesis is true (i.e., men and women are chosen with equal probability in the
sample), the test statistic will be drawn from a chi-squared distribution with one degree of
freedom. Though one might expect two degrees of freedom (one each for the men and women),
we must take into account that the total number of men and women is constrained (100), and
thus there is only one degree of freedom (2 1). Alternatively, if the male count is known the
female count is determined, and vice-versa.
Consultation of the chi-squared distribution for 1 degree of freedom shows that the probability of
observing this difference (or a more extreme difference than this) if men and women are equally
numerous in the population is approximately 0.23. This probability is higher than conventional
criteria for statistical significance (.001-.05), so normally we would not reject the null hypothesis
that the number of men in the population is the same as the number of women (i.e. we would
consider our sample within the range of what we'd expect for a 50/50 male/female ratio.)
Binomial case[edit]
A binomial experiment is a sequence of independent trials in which the trials can result in one of
two outcomes, success or failure. There are n trials each with probability of success, denoted
by p. Provided that npi 1 for every i (where i = 1, 2, ..., k), then
This has approximately a chi-squared distribution with k 1 df. The fact that df = k 1 is a
consequence of the restriction
. We know there are k observed cell counts,
however, once any k 1 are known, the remaining one is uniquely determined. Basically, one
can say, there are only k 1 freely determined cell counts, thus df = k 1.
See also[edit]
Overfitting
References[edit]
1.
^ Jump up to:a b Charlie Laub and Tonya L. Kuhl: Chi-Squared Data Fitting. University
California, Davis.
2.
Jump up^ John Robert Taylor: An introduction to error analysis, page 268. University Science
Books, 1997.
3.
4.
Goodness of fit
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Goodness of fit dari model statistik menggambarkan seberapa baik cocok
serangkaian pengamatan. Ukuran goodness of fit biasanya merangkum
perbedaan antara nilai-nilai yang diamati dan nilai-nilai yang diharapkan di
bawah model yang bersangkutan. Tindakan tersebut dapat digunakan dalam
pengujian hipotesis statistik, misalnya untuk menguji normalitas residual, untuk
menguji apakah dua sampel diambil dari distribusi yang identik (lihat uji
Kolmogorov-Smirnov), atau apakah frekuensi hasil mengikuti distribusi tertentu
(lihat uji chi-squared Pearson). Dalam analisis varians, salah satu komponen
mana varians dipartisi mungkin jumlah kekurangan-of-fit dari kotak.
isi
[hide]
1 Fit distribusi
Analisis 2 Regresi
o 2,1 Contoh
3 Data kategoris
o 3.1 uji chi-kuadrat Pearson
3.1.1 Contoh: frekuensi yang sama laki-laki dan perempuan
o 3,2 kasus Binomial
4 Langkah-langkah lain dari fit
5 Lihat juga
6 Referensi
Fit distribusi [sunting]
Dalam menilai apakah distribusi yang diberikan cocok untuk data-set, tes berikut
dan langkah-langkah yang mendasari mereka fit dapat digunakan:
Tes Kolmogorov-Smirnov;
Kriteria Cramr-von Mises;
Tes Anderson-Darling;
Tes Shapiro Wilk-;
Squares dan teknik regresi, goodness of fit dan tes, non-linear teknik kuadrat
terkecil. Woods Hole Oceanographic Institute, 2008.