# A Comparison of Binomial Proportion Interval

advertisement ```A Comparison of Binomial Proportion Interval
Estimation Methods
John Ulicny, Precision Metrics Inc., Valley Forge PA
ABSTRACT
Some recent research has confirmed that the
standard Wald (normal) confidence interval
approximation for the binomial proportion is
inadequate in key respects, especially for extreme
values of p . Even for moderately large values of n
the coverage probabilities can prove to be erratic for
various specific values of p . This fact makes
general rules for the use of the Wald method
problematic.
Alternative methods have been
proposed, and this paper compares some of those
alternatives with new capabilities built in to SAS
Version 8.2 to calculate exact intervals. A decision
rule is proposed for the selection of an appropriate
technique. Also, a few extensions to other discrete
distributions will be considered.
This topic is relevant to both statisticians and
programmers because of the fact that binomial
proportion estimation is so commonly needed in a
wide variety of situations, and the Wald (normal
approximation) technique is taught in even the most
basic statistics courses. Non-statisticians therefore
often handle the task of interval estimation of this
type.
INTRODUCTION
Binomial random variables arise frequently in data
analysis. They are based on a sum of much simpler
variables called Bernoulli random variables.
When a situation exists where one of only two
possible mutually exclusive outcomes can occur,
then this forms a particular kind of sample space. It
is common to assign a designation of “success” to
one of the events in the sample space and “failure”
to the other. Furthermore it is helpful to map these
designations into a numeric variable.
We can
create a variable, Y, with a value 1 corresponding to
a successful outcome and a 0 for failure. A variable
that can take on a value of 1 or 0 in this way is
called a Bernoulli random variable. A sum of such
random variables is called a binomial random
variable when each term in the sum occurs
independently of all others, and the probability of a
success is constant.
The probability of observing exactly “ x ” successes
in a sum of “ n ” Bernoulli trials is expressed as
(1.1)
 n
P ( X = x) =   p x (1 − p ) n − x
 x
For example the probability of observing 2 heads in
10 tosses of a fair coin could be stated as
10 
P ( X = 2) =   (.5) 2 (.5)10− 2 = .044
 2
In practice the value of the population parameter p is
usually unknown and must be estimated from a
sample of data. This sample estimate is obtained by
counting the successes and dividing by the total
number of trials. Let’s call p̂ the estimate. Then
(1.2)
pˆ = ∑ yi / n = x / n
But since the estimate of p is a function of the
observed values of a random variable, this estimate
is itself a random variable and is subject to random
fluctuation. By building a confidence interval using
our estimate of p and some assumptions we are
able to specify two values between which the true
p will lie with a stated probability. We can call this
probability the “nominal confidence level”. If we call
pL and pU lower and upper confidence limits
respectively, then we can attempt to make a
statement such as
(1.3)
P ( pL ≤ p ≤ pU ) = .95
where pL and pU are random quantities between
which we claim to be 95 percent confident that the
true value of p lies. Here I will mention that the
value of p is fixed but unknown, and it is the
confidence interval around p that varies randomly.
For simplicity I will use a confidence level of .95
throughout this paper. The same conclusions will
apply to other levels.
In addition it is common to
state the confidence level as (1 − α ) because it
makes it easier to relate confidence coefficients to
alpha levels in hypothesis tests. In this paper I will
use α =.05.
The term “coverage” is used to denote the
probability that a confidence interval computed from
a sample of data will actually enclose the true value
of p . This coverage will in general vary depending
on the values of p and n . In addition, the
“confidence coefficient” is defined as the smallest
coverage probability across all possible values of
p.
One of our primary goals is to choose a method with
coverage as close as possible to the nominal
confidence level. Finding values for the confidence
limits in equation (1.3) that provide a level of
confidence exactly equal to .95 for all values of p is
not possible.
A confidence interval is defined by the formula that
generates pL and pU along with a confidence
coefficient. This way of defining the interval implies
that an “exact “ interval with a nominal confidence
level of .95 needs to meet the requirement that its
minimum coverage is .95, as opposed to a
requirement that coverage is .95 everywhere. This
makes exact methods very conservative. Moreover
the term “exact” is a bit counterintuitive.
METHODS
PROC FREQ in SAS/BASE version 8 calculates
exact binomial confidence intervals as well as
intervals based on the normal approximation.
The other method you can request from PROC
FREQ is the normal approximation. It uses the fact
n becomes large,
p̂ becomes
that
as
approximately normally distributed with mean p
and variance p (1 − p ) / n . This method does not
guarantee coverage of (1 − α ) and in fact has very
erratic coverage properties. The interval limits are:
pL = pˆ − zα / 2 pˆ (1 − pˆ ) / n
and
pU = pˆ + zα / 2 pˆ (1 − pˆ ) / n
Consider this simple example: Let’s assume that a
machine produces widgets with a defect rate of 10
percent. If we select a random sample of 10 widgets
produced by the machine, then there are 11 possible
values for the random variable X, the number of
defects. Each item produced has an independent
probability of being defective. The following tables
list the exact and normal approximation confidence
interval methods and their coverage properties:
Table 1A
Binomial Confidence Intervals with p=.1 and
n=10
Nominal Confidence Level=.95
To obtain an exact confidence interval we must
solve the pair of equations for pL and pU
n
n
k=x
 
x
n
k =0
 
∑ k  p
k
L
(1 − pL ) n −k = α / 2
k
U
(1 − pU ) n −k = α / 2
and
∑ k  p
The following equivalent formulas are the ones SAS
uses. They are derived form the above equations
and involve an F-table lookup which is much faster.

n − x +1
pL =  1 +

xF2 x ,2( n − x +1),1−α / 2




Normal Approximation Method
X
P(X=x)
0 0.34868
1 0.38742
2 0.19371
3
0.0574
4 0.01116
5 0.00149
6 0.00014
7 0.00001
8 3.60E-07
9 9.00E-09
10 1.00E-10
Total Coverage
Lower
0
0
0
0.016
0.0964
0.1901
0.2964
0.416
0.5521
0.7141
1
Upper
0
0.2859
0.4479
0.584
0.7036
0.8099
0.9036
0.984
1
1
1
Coverage Coverage
Flag Probability
0
0
1
0.3874
1
0.1937
1
0.0574
1
0.0112
0
0
0
0
0
0
0
0
0
0
0
0
0.6497
−1

n−x
pU = 1 +
 ( x + 1) F2( x +1),2( n − x ),α / 2




−1
Table 1A lists each possible value of x that could
have occurred along with the confidence interval that
it would have generated based on the normal
method. If the confidence interval covered the value
of p , which in this case is .1, then the coverage flag
column is set to 1. The coverage probability is just
the coverage flag times P(X=x). The total coverage
for this method with p =.1 and n =10 is defined as
the sum of coverage probabilities over all x . As you
can see the coverage value of .6479 is quite
substantially below the nominal coverage of .95.
Table 1B
Binomial Confidence Intervals with p=.1 and
Exact Method
X
P(X=x)
0 0.34868
1 0.38742
2 0.19371
3
0.0574
4 0.01116
5 0.00149
6 0.00014
7 0.00001
8 4.00E-07
9 9.00E-09
10 1.00E-10
Lower
0
0.0025
0.0252
0.0667
0.1216
0.1871
0.2624
0.3475
0.4439
0.555
0.6915
Upper
0.3085
0.445
0.5561
0.6525
0.7376
0.8129
0.8784
0.9333
0.9748
0.9975
1
Coverage Coverage
Flag Probability
1
0.3487
1
0.3874
1
0.1937
1
0.0574
1
0.0112
0
0
0
0
0
0
0
0
0
0
0
0
Total Coverage
0.9984
n=10
Nominal Confidence Level=.95
It’s easy to see in Table 1B that the exact method’s
confidence interval captures the true value of p
when x =0. This is not the case with the normal
approximation, and so the exact method’s coverage
comes much closer to the stated nominal confidence
level of .95. In fact it’s actually quite conservative.
This is sample code to generate some of the results
in the preceding tables for x=3=
∑y
data FreqDemo;
input y @@;
datalines;
1 0 0 0 0 1 0 1 0 0
; run;
proc sort data=FreqDemo;
by descending y; run;
proc freq data=freqdemo order=data;
tables y/binomial; run;
And here is a partial listing of results:
Binomial Proportion for y = 1
Proportion
0.3000
ASE
95% Lower Conf Limit
95% Upper Conf Limit
0.1449
0.0160
0.5840
Exact Conf Limits
95% Lower Conf Limit
95% Upper Conf Limit
0.0667
0.6525
In the previous example the number of observations
was kept small to keep the calculations simple, but
the two methods present problems with coverage
properties even for larger n and p .
Now I would like to discuss and evaluate two other
intervals suggested by Brown et al. The first is the
Wilson interval and the second is the Jeffreys
interval.
The Wilson interval is based on inverting the
standard test for an asymptotically normally
distributed parameter estimate. Instead of using the
standard error of the estimate, it uses the standard
error of the parameter value under the null
hypothesis.
That is, instead of using
pˆ (1 − pˆ ) / n it uses p (1 − p ) / n .
That change results in the following confidence
limits:
X + z2 / 2 z n
&plusmn;
n + z2
n + z2
ˆ ˆ + z 2 /(4n)
pq
The Jeffreys interval takes a Baysian approach. A
significant difference between this approach and the
others is that the population parameter in the
Baysian approach is considered to be a random
variable. Using Baysian methodology we assume
that the parameter, p , has a prior distribution which
reflects our beliefs about the likely values of p
before the sample was drawn.
For technical
reasons the choice for this “prior” distribution for p is
often a Beta with two parameters a1 and a2 . The
distribution of p is then essentially revised by
information obtained in the data sample and thus a
new “posterior” distribution is obtained.
If p has a beta prior then its mean is a1 /( a1 + a2 ) .
The estimate of p after the sample is drawn is

  x   a1 + a2   a1 
n
pˆ J = 
  + 


 a1 + a2 + n   n   a1 + a2 + n   a1 + a2 
Close inspection of this equation reveals that it is
ˆ (= x / n) and
essentially a weighted average of p
the mean of the prior distribution, a1 /( a1 + a2 ) . As
n gets larger, more weight is given to information
from the sample.
The beta distribution as used here is called the
“natural conjugate prior” for the binomial and has the
very desirable property that the posterior distribution
for p is also a beta. Brown et al assume a prior of
Beta(1/2,1/2).
The confidence interval then
becomes simply the posterior beta variate evaluated
at the appropriate quantiles. Hence:
pL = B(.025; x + .5, n − x + .5) , x &gt; 0
pL = 0 , x = 0
and
pU = B(.975, x + .5, n − x + .5) , x &lt; n
pU = 1 , x = 1
Using the Wilson method to calculate confidence
intervals in example 1 would result in a coverage
probability of .930 while the Jeffreys method gives
coverage of .987. It is clear that for the situation
portrayed in example 1 the Wilson method is
superior in terms of coverage.
Segments of macro code listed below show
calculations of the Wilson and Jeffreys intervals. The
variable ‘PR’ contains P ( X = x ) and ‘PHAT’ is p̂ .
Note the use of the PDF, PROBIT and BETAINV
functions.
These SAS functions make the
calculation of probabilities and quantiles easy.
* -------------------------------------;
* Section to process the Wilson method ;
* -------------------------------------;
%WilsonMth:
data _zzbintmp;
do x=&amp;xlow to &amp;xhigh;
pr=pdf('binomial',x,&amp;popp,&amp;num);
z=probit(&amp;clevel+(1-&amp;clevel)/2);
x1=x+z**2/2;
n1=&amp;num+z**2;
phat=x1/n1;
offset=(z*(&amp;num**.5)/n1)*
((x/&amp;num)*(1x/&amp;num)+z**2/(4*&amp;num))**.5;
*-----ll=lower limit, ul=upper limit;
ll=max(phat-offset,0);
ul=min(phat+offset,1);
*----set coverage flag to 1 if interval ;
*----covers the population proportion;
cflag = (ll le &amp;popp) and
(ul ge &amp;popp);
output;
end;
run;
%goto ProcessResult;
* -----------------------------------;
* Section to process Jeffreys method ;
* -----------------------------------;
%JeffMth:
data _zzbintmp;
do x=&amp;xlow to &amp;xhigh;
pr=pdf('binomial',x,&amp;popp,&amp;num);
*-----ll=lower limit, ul=upper limit;
ll=max(betainv((1-&amp;clevel)/2,
x+.5,&amp;num-x+.5),0);
ul=min(betainv(1-(1-&amp;clevel)/2,
x+.5,&amp;num-x+.5),1);
if x=0 then ll=0;
if x=&amp;num then ul=1;
*----set coverage flag to 1 if interval ;
*----covers the population proportion;
cflag = (ll le &amp;popp) and (ul ge &amp;popp);
output;
end;
run;
%goto ProcessResult;
OTHER CONSIDERATIONS
Three other considerations that are important in
evaluating a confidence interval are
•
•
•
MIL - Mean interval length
MC - Mean coverage
RMSE - root mean squared error.
They are defined below.
Define the expected interval length as
n
 n
&micro; n , p = ∑ ( pU − pL )   p x (1 − p) n − x
x =0
 x
Then the mean interval length with respect to a
uniformly distributed p is
1
MILn = ∫ &micro; n , p dp .
0
Mean coverage is defined similarly as
CONCLUSIONS
1
MCn = ∫ Cn , p dp .
0
And the root mean squared error is
1/ 2
 1

RMSEn =  ∫ (Cn , p − (1 − α )) 2 dp 
 0

.
In the above two equations Cn , p is the coverage for
a given method at specific values of n and p .
A shorter confidence interval is preferred, all other
things being equal, and so a smaller MIL is better.
The MC and RMSE give a summary of the coverage
characteristics over a range (uniformly weighted in
this case) of population proportion values. Other
distributions for p can be specified, and once again
the most commonly used distribution is a beta.
Refer to table 2 for a summary of these measures
for various values of n . A numerical technique
known as Romberg integration was programmed in
SAS and used to produce the measures. Romberg
integration repeatedly applies the trapezoidal rule to
the functions involved until convergence to within a
certain tolerance is achieved.
All measures are
thus approximate.
Note that as n increases, the measures improve for
all four methods. For instance the exact method has
This happens
coverage of 100% when n =5.
because the exact method needs to be very
conservative to ensure that coverage never falls
below 95% for a given combination of n , which is
equal to 5 in this case, and p . But as n increases,
the mean coverage for the exact method falls all the
way to 96.67%.
Note also that the normal
approximation method never really achieves mean
coverage as good as any of the other methods.
According to SAS version 8 documentation, “Exact
statistics can be useful in situations where the
asymptotic assumptions are not met, and so the
asymptotic p-values are not close approximations for
the true p-values.” While this paper has addressed
confidence intervals rather than hypothesis tests and
hence p-values, the same advantage of the exact
method over the normal (asymptotic) method can be
seen by referencing the performance measures in
table 2. The SAS documentation goes on to state
that “Asymptotic results may also be unreliable
when the distribution of the data is sparse, skewed
or heavily tied.” The distribution of a binomial
random variable will be heavily skewed when p is
extreme.
A major advantage of the exact method is that it
provides a guarantee that coverage will never fall
below the nominal confidence level. The price to be
paid for this guarantee however is the extreme
conservativeness of the method. The Wilson and
Jeffreys methods both provide a significantly closer
match to nominal confidence, especially at small
values of n . Moreover, these two methods provide
for smaller mean interval widths at all values of n .
The addition of exact methods to the statistical
capabilities of SAS is welcome. This paper has
attempted to compare four methods, two of which
are built-in to SAS (the normal approximation
method and the exact method).
The normal
approximation (Wald) method should virtually never
be used. The exact method can be used in
situations where the researcher must guarantee
coverage at least as large as the nominal stated
coverage.
The Wilson or Jeffreys methods are
appropriate when a high degree of accuracy is
required, but coverage may be allowed to fall below
the nominal level. The Wilson method is simpler to
apply. The Jeffreys method relies on Bayesian
techniques and will be more appropriate to use in
situations amenable to such techniques.
Table 2
Binomial Confidence Interval Comparisons*
Nominal Confidence Level=.95
Method
Mean
Coverage
Root Mean
Squared Error
Mean
Interval
Length
n=5
Normal
Exact
Wilson
Jeffreys
64.17%
100.00%
95.43%
96.02%
39.85%
5.00%
3.54%
3.54%
0.4600
0.6779
0.5581
0.5606
n=10
Normal
Exact
Wilson
Jeffreys
76.97%
98.43%
95.44%
95.33%
28.61%
3.39%
3.39%
3.13%
0.4034
0.5085
0.4354
0.4326
n=15
Normal
Exact
Wilson
Jeffreys
82.22%
97.90%
95.26%
95.15%
23.47%
2.62%
2.97%
2.62%
0.3531
0.4210
0.3687
0.3656
n=25
Normal
Exact
Wilson
Jeffreys
86.55%
97.46%
95.11%
95.03%
18.25%
3.37%
2.81%
2.22%
0.2881
0.3277
0.2943
0.2920
n=50
Normal
Exact
Wilson
Jeffreys
90.09%
96.90%
95.71%
95.71%
2.19%
2.50%
2.05%
2.05%
0.2112
0.2306
0.2129
0.2117
n=100
Normal
Exact
Wilson
Jeffreys
92.23%
96.67%
95.08%
95.00%
2.02%
2.30%
2.45%
1.99%
0.1518
0.1614
0.1522
0.1516
Sample
Size
*
All values are approximations based on numerical integration.
REFERENCES
Agresti, A. and Coull, B. A. (1998). Approximate is
Better than “Exact” for Interval Estimation of Binomial
Proportions. The American Statistician 52, 119-126.
Brown, L. D., Cai T. T. and DasGupta A. (2001).
Interval Estimation for a Binomial Proportion.
Statistical Science (forthcoming).
Collett, D. (1991). Modelling Binary Data, London:
Chapman and Hall.
Leemis, L. M. and Trivedi, K. S. (1996).
A
Comparison of Approximate Interval Estimators for
the Bernoulli Parameter. The American Statistician
50, 63-68.
Burden, R., Faires J. D., and Reynolds A. C. (1981).
Numerical Analysis 2nd Edition.
Boston: PWS
Publishing.
SAS Institute Inc. SAS/STAT User’s Guide, Version
8. Cary NC: SAS Institute Inc., 1999.
Casella, G. and Berger, R. L. (1990).
Inference, Belmont: Duxbury Press.
Acknowledgements:
Statistical
SAS is a Registered Trademark of the SAS Institute,
Inc. of Cary, North Carolina.
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