Normal Distribution
nothing is called 95% until it has been counted
Concept

Hermite polynomials — where it appears

The polynomials orthogonal under a normal distribution, which turn a question about functions of a normal covariate into arithmetic on coefficients. Their orthonormality makes every inner product between functions of a normal covariate a closed form, and for two independent covariates the products factor.

Named by 12 essays across 7 fields — each of them below, with the objects they name alongside it.

The six best bases of 2 functions, and what each protects. Every cell is R²(g | span B) — the share of the imbalance in that shape a rule balancing that basis removes — computed from exact inner products between Hermite functions and indicators, with nothing simulated. The rows are ordered by their worst cell, which is the number an experimenter who does not know the shape is exposed to. The best row here guarantees 26.8% against every shape in the list, and the worst of the six guarantees 15.1%: the difference between them is entirely which subspace was picked, at the same cost per arrival.

A basis is a subspace

A balancing rule cannot tell one basis from another with the same span, so choosing what to hand it is choosing a subspace — and then what it removes of any outcome shape is a projection, computable exactly, with no trial anywhere in it.

basis · Criterion The expansion that never terminates. The Hermite coefficients of a median split, in magnitude, against the reference j to the power −3/4, anchored at the first one. Every even order is exactly zero because sign is an odd function, and every odd order is not, so no truncation is exact — where a polynomial of degree d is exact at any order past d. Summed, the tail past J falls like 1/√J: sixty orders still leave 6.6% of the variance outside. That statement is what made a cut dictionary's geometry unavailable in closed form, and it is a statement about the function against itself. What it is not is the accuracy of an inner product between two correlated variables, where every term past J carries a factor of ρ^m as well.

A cut is not a polynomial, and it does not have to be

A threshold's expansion never terminates, which is why a balancing dictionary's geometry was closed for powers and taken to draws for cut points. Conditioning on the second variable closes it for both.

splits · Blocking Two covariates make the dictionary an outer product. Four functions of each covariate, and everything a balancing rule may be handed. The margins are the 8 main effects and the block between them is the 16 interactions, which are 66.7% of the dictionary. Every inner product in it is closed form — ⟨f₁g₁, f₂g₂⟩ = ⟨f₁,f₂⟩⟨g₁,g₂⟩ when the covariates are independent — so nothing about the geometry gets harder. What gets harder is the counting: choosing k of 24 is C(24, k), which is 10,626 at four and 735,471 at eight.

A dictionary that is a product

Two covariates make what a balancing rule may read an outer product — eight main effects and sixteen interactions — and every inner product in it is still closed form. What a rule holding all eight main effects removes of a pure interaction is not small. It is zero.

product · Blocking The rule is parity, and it runs both ways. At a correlation of 0.5, four combinations of a dictionary and an outcome shape. The joint sign flip (X, Y) → (−X, −Y) leaves the bivariate normal alone at every correlation, so a function that changes sign under it is orthogonal to one that does not. A product of two odd functions is even; a product of an odd and an even one is odd. So an odd dictionary removes exactly none of the first and something of the second, and an even dictionary does the reverse — which it does, to machine precision, in both of the two rows that should be zero. This is one rule where there had been two: that a median split's square is constant, and that a polynomial dictionary contains the products a correlation generates.

A dictionary that is neither

A rule handed two median splits removes none of their interaction; a rule handed two covariates removes none of their product. Those were two results with two explanations, and they are one result with one — and finding it corrected the number underneath both.

dict · Criterion One zero holds and one does not. Three rules, at a correlation of 0.5, against the skewness of the covariate. A rule balancing the mean of each covariate removes exactly nothing of their product when the marginal is symmetric — including the heavy-tailed symmetric one at skewness zero, which is what says the guarantee needs symmetry rather than normality — and removes up to 29.7% when it is not. A rule balancing a median split of each removes exactly nothing of the product of the splits under every marginal here, to 1e-30: both sides are functions of the sign of the latent normal, and a monotone transformation moves neither. A rule balancing a threshold at a value on the covariate's own scale removes between 4.9% and 22.5% — it never had a zero to lose, under any marginal at all.

A zero that rests on a symmetry

A balancing rule removes exactly none of an interaction between two odd functions, at every correlation. The argument needs the joint sign flip to preserve the law, and no real covariate is symmetric about anything.

skew · Criterion The fourth-order expectation, by two routes. Every inner product in an eight-term slice of the dictionary at ρ = 0.5, computed from the linearisation and Mehler's formula and counted from two hundred thousand draws of a correlated pair. The entries that matter are the ones off the main effects: ⟨f(X)u(Y), g(X)v(Y)⟩ is a fourth-order expectation, which the independent-covariate field could not write down. The worst departure is 1.99 standard errors over 36 pairs, measured in each pair's own error because the entries differ in size by two orders of magnitude.

The fourth moment that was missing

Mehler's formula makes the main effects exact at any correlation and stops there, because the interactions need an expectation of four Hermite functions rather than two. A linearisation turns the four into two, and the whole geometry becomes closed again.

joint · Blocking What is left of a probe after the rule has had it. The share of each dictionary function a rule balancing x, x2, x3, cut0 has already taken, on trials of 14 units, averaged over 100 designs. Four of the eight functions are the basis, so their share is exactly one: a randomisation test run on one of them is asking about a quantity the rule forced to zero, and one of them is the default probe of the field this measurement comes from. The four that are not still read 0.919, 0.873, 0.903, 0.832 — between 0.832 and 0.919 of them is inside the span — against closed-form removed shares of 0.000, 0.692, 0.590, 0.692. At 14 units a rule with four functions in it takes most of anything it is shown.

The part the rule already took

A diagnostic that reports on what a balancing rule was not handed is run through a column that is 92% inside the span the rule balanced — because orthogonality in the population is not orthogonality on fourteen units.

aimed · Randomisation The zero was a fact about independence. What a balancing rule handed every main effect of both covariates removes of a pure interaction, as the covariates are allowed to move together. At ρ = 0 it is exactly nothing — at machine precision, at any number of main effects — which is the independent-covariate result and is correct. It is not small anywhere else: the product of the two covariates loses 64.0% of itself by ρ = 0.5, because h₁h₁ = h₀ + √2·h₂ and Mehler pairs h₂ with h₂ at ρ². Four interactions are drawn and none of them keeps the zero.

A zero that was an assumption

A rule handed every main effect of both covariates removes exactly none of a pure interaction. That is true at machine precision, it is a fact about independence, and it dies as the square of the correlation.

joint · Criterion Sheppard's arcsine, by two routes. Corr(sign X, sign Y) as the covariates' correlation runs from zero to one, drawn twice. One route is a sixty-four-node quadrature of the orthant probability over the correlation — the general construction, which works at any pair of cut points; the other is (2/π) arcsin ρ, which is elementary and works only at the median. They agree to 3.3e-16 at every one of 81 correlations, which is what licenses the quadrature everywhere else. The curve is above the diagonal at small ρ and below it at large: two signs agree with probability ½ + arcsin(ρ)/π, so a correlation of 0.5 gives exactly ⅓ and a correlation of 0.8 gives 0.5903.

The arcsine that closes it, and the error that was overstated

Two median splits of a correlated pair agree with probability ½ + arcsin(ρ)/π, exactly. And the truncation the field was avoiding falls geometrically in the correlation, not algebraically in the order.

splits · Routes The guarantee that survives a correlation, and the one that does not. What a balancing rule handed both main effects removes of the pure interaction between them, as the covariates become dependent. For median splits it is exactly zero at every correlation, because sign(x)² = 1: the interaction sign(X)sign(Y) is orthogonal to sign(X) and to sign(Y) whatever ρ is. For the product of the raw covariates it is 4ρ²/(1+ρ²)² — 64.00% by ρ = 0.5, rising to all of it at perfect correlation. A cut away from the median sits between them and is not small: 23.01% at a cut of one. The zero is not a fact about interactions. It is a fact about a dictionary whose functions square to a constant, which a polynomial one does not.

The zero that survives a cut

A rule holding both main effects removes half of a pure interaction between correlated powers and exactly none between correlated median splits. The guarantee that a correlation destroyed was never about interactions.

splits · Criterion A class that is a subspace has no guarantee below its own dimension. Each cell is the worst case over every unit-variance function in a class of dimension m, for a rule reading k functions: the smallest squared principal-angle cosine between the two subspaces. Wherever k is less than m the number is zero to machine precision, and that is not a weak guarantee but the absence of one — some direction of the class is orthogonal to the entire basis, and against an outcome in that direction the rule does exactly what a coin does. An experimenter who declines to name the shapes and asks instead to be protected against everything smooth is asking for the cells above the diagonal.

Where the guarantee is exactly zero

An experimenter who declines to name the shapes, and asks instead to be protected against anything in a class, is asking for a number that is not small but zero. Bounding the class is unavoidable, and the two ways of doing it choose different bases.

basis · Randomisation What exact balance on the main effects removes of the interaction, in a sample. The share of the interaction's in-sample variance explained by the eight main effects — what exact balance on them would remove — averaged over 4,000 samples, at 25, 50, 100, 200, 400 units and correlations of 0, 0.3, 0.5. At 0, whose closed form is 0.0%: 62.1%, 40.3%, 24.5%, 14.9%, 8.4%. At 0.3, whose closed form is 30.3%: 69.8%, 54.2%, 44.4%, 38.4%, 34.8%. At 0.5, whose closed form is 64.0%: 80.7%, 73.1%, 69.2%, 66.8%, 65.4%.

The share a sample removes

A rule balancing eight main effects of two independent covariates removes exactly none of their interaction — in the population. A trial is a sample, and in a sample of a hundred units exact balance on the same eight functions removes 24% of the interaction's variance on average, between 10% and 42% from one trial to the next. At twenty-five units it removes 62%. The zero is the centre of nothing: it is the limit the in-sample share falls towards, by about two fifths with every doubling of the trial, carried there by an interaction whose spread grows with the very functions it is regressed on. At a correlation of a half the closed form says 64%; a trial of a hundred gets 69% on average and anything from 53% to 83%.

joint · Criterion

Named alongside it

The objects these essays reach for when they reach for this one.

Covariate balanceBasis functionsOrthogonalityProjectionClosed formCorrelationInteractionThresholdVariance explainedBasisExperimental designContinuous covariate

All concepts