Every essay — page 19
The diagnostic after the trial
The test for whether a balanced-assignment walk can reach the whole admissible set is run on a covariate function, before any outcome exists. Run instead on the difference in arm means it is the same test — under the sharp null the outcome is a fixed column — and it is about the statistic the p-value is actually built from. Two findings: an outcome is a probe nobody chose, and on a set that is genuinely split three in ten of them see nothing at all; and the published two-sided p-value is exactly right on half a reference distribution, while a one-sided one is not.
The statistic the p-value is about
The test for whether a balanced-assignment walk reaches its whole set is run on a covariate function chosen before the trial. Run on the difference in arm means it is the same test, and it is about the number the trial publishes.
A probe nobody chose
On a set that is definitively in two pieces, seven of twenty-four outcomes report nothing at all. Every covariate probe reports it. What separates them is not accuracy — it is that one of them can be chosen and the other is what happened.
Half a reference distribution
A walk that reaches half its admissible set reports the two-sided p-value exactly right, to the last digit, for ever. A one-sided one it puts on the wrong side of five per cent about once in thirty.
Before the trial and after
The same diagnostic run at two moments answers two different questions. Before, a positive verdict changes the design. After, it changes which number gets reported — and only for the numbers the defect can reach.
After the mirror is gone
The two-chain diagnostic starts its second chain at the complement of the first's start, which exists only when the arms are equal. At five treated against ten, enumerated on two hundred designs, a split admissible set is one big piece and some crumbs — the median puts 97.3% of its assignments in one component — so two random starts see the split on 12% of split designs and 95% needs a median of 109 starts. Worse, the rule fixes units in a connected set all the time, so a unit that never moves stops being evidence. A hunt that forces such a unit into the other arm finds 41 of 70 splits; 29 carry no unit that marks them.
The other half of the dependence
What a balancing rule can remove of an interaction was measured across six marginals with one joint law of the ranks held fixed. Change the copula instead and the two exact zeros come apart for two different reasons. A median split's zero is arithmetic — a centred median split squares to a quarter identically — and holds under every copula there is. A mean's zero needs the copula to be symmetric under reflection as well as the covariate to be symmetric: it is exactly nothing under a Gaussian, t or Frank copula and 7.71% under a Clayton, at the same rank correlation and with a normal covariate throughout.
A zero that is arithmetic
A median split's exact zero was explained by a symmetry of the latent normal. It holds under a Clayton copula, which has no such symmetry, because a centred median split squares to a quarter identically.
The symmetry the marginals could not show
A mean's interaction zero needs the covariate to be symmetric and the copula to be symmetric under reflection. Six marginals could only ever test one of those, and the other is broken by the commonest kind of dependence there is.
Which tail the cut sits in
The same copula and its reflection have the same rank correlation, the same Kendall tau and the same marginals. A balancing rule holding a threshold at a dose leaves 5.33% under one and 33.36% under the other.
A cut walked into the tail
Move a balancing rule's threshold off the median and the interaction it leaks rises from exactly zero — and then either turns back to nothing or climbs to a ceiling, depending on one property of the dependence. With both covariates cut, the whole regression collapses to two probabilities, and far out it settles on 2λ/(1 + λ) of the tail-dependence coefficient: 57.25% under a Clayton, 35.57% under a t, and zero under a Gaussian or a Frank however strongly the covariates are related.
A leak read off a two-by-two table
The share of an interaction a threshold-balancing rule leaves alone needs one number from the data: how often a unit past the cut on one covariate is past it on the other. A cohort of a thousand estimates it to within a dozen points at the 90th percentile. At the 99th most cohorts have an empty cell in their table, and every one of those reads a leak of exactly one hundred per cent — a reading the bootstrap then confirms with an interval of zero width.
A block length chosen from the data
Two block windows were compared at each window's own best block length, which is the argmin of a quantity that needs the truth. Re-run on rules a practitioner could actually run, the ordering reverses: the taper wins at the best available length and at one estimated from the sample's own persistence, and the rectangle wins at a length written into a protocol and at the rule of thumb, at every sample size measured. And the whole argument is a third of the size of what estimating the length costs.
The length nobody has
Every comparison of block windows in this collection is made at each window's own best block length. That length has a standard deviation of sixteen across draws and averages twenty-five. No rule is aimed at it.
An ordering that depends on the rule
The tapered block beats the rectangular one at the best available block length and at one estimated from the data. At a length written into a protocol, and at the rule of thumb, the rectangle wins — at every sample size measured.
What choosing the length costs
The gap between two block windows at the best available length is 2.12 points. What the best rule a practitioner could run gives up against that same length is 7.26. The argument is a third of the size of the thing it is inside.
A length read off the whole sequence
The automatic block length reads one number off the sample — the lag-one correlation — and assumes the rest of the dependence is geometric. Reading the whole autocovariance sequence instead removes the assumption and puts the length where the law wants it. At a hundred and twenty rows it buys nothing, even where the assumption is wrong; it costs 3.87 points where the assumption is right, and by 960 rows that premium is 1.15 and the payout under a law the plug-in misreads is 3.77. Under long memory neither rule, nor the best length on each draw, gets within ninety per cent.
A ranking that belongs to the interval
Five ways of choosing a block length, read on the coverage of the interval each length builds rather than on the variance it implies. On the percentile interval the variance's verdict mostly survives: under a five-period moving average the plug-in and the whole-sequence rule tie at 120 rows and the sequence rule leads at 480. Build a studentised interval from the same resamples and the lead reverses — the plug-in's longer blocks cover 94.5% against 93.3% — because an interval that widens for its own uncertainty is paid for a long block where a percentile interval is punished for one. Under long memory no length and no interval covers two times in three.
A charge for a covariance's own dimension
The two charges that pick a band's width were derived for a regression coefficient, and a band's numbers are neither free nor entered the same way. Measured as an optimism against a second independent sample, a Bartlett band costs 0.374 of a log-likelihood unit a lag where a criterion charges one. The window's own weights are the mechanism — scale them and the charge scales with them, to within two per cent across three windows — and they are not the arithmetic: the level is three quarters of the sum, a different shape at the same sum costs more, and the charge rises with the law's persistence. Levying the right one moves every width in the table by a factor of four and the error by half a per cent.
The charge nobody derived
A band of lags is charged one log-likelihood unit apiece, because that is what a regression coefficient costs. A band's numbers are not regression coefficients, and measuring what they actually cost puts the convention out by a factor of nearly three.
What a window leaves free
A Bartlett window's weights sum to exactly half its width, which is a candidate for what the band costs. Varying the weights without varying anything else says the weights are the mechanism; varying the shape at the same weight says they are not the arithmetic.
A width that moves and an error that does not
Four charges give four widths a factor of four apart and four errors half a per cent apart. The derived charge wins, significantly, by a quarter of what was on offer — and none of the four is an estimate of anything.
The charge at four times the sample
A band of lags is charged a full unit apiece and is worth about three eighths of one at a hundred and twenty rows. The field's last essay said the error in that convention was harmless only because the error surface is flat, and that a steeper surface would give it a cost. A longer sample was the obvious place for one. It is not there: from 120 rows to 480 the error's spread across band widths falls by three quarters, and the derived charge's advantage over the convention falls from 5.5 standard errors to 1.7. What the sample does move is the charge itself, from 0.37 of a unit a lag towards the half a unit the window's weights predict.
A cap that decides nothing
Every band-width list this field priced stopped at thirty lags, and long memory at a large sample is the one dependence whose best band wants to be wider. At 960 rows it does: the draw's own best width lies past the cap on 48.7% of draws. Lift the cap to eighty and the measured charge follows, from 28 lags to 46 — and the error moves by two ten-thousandths, in the wrong direction and inside its standard error, because the surface behind the cap is flat. The field's last conditional fails where it had its best chance.
The rate and the size of a disagreement
A sweep of what it costs to let every candidate choose its own tuning parameter reported a product and called it a cost. Separated — and the decomposition is exact, because a draw on which nothing disagreed carries exactly zero — the rate rises by half across the list and what a disagreement is worth does not move at all. A third quantity explains why: a disagreement costs something only when it changes which candidate the table selects, that happens on about an eighth of draws, and the eighth does not depend on the list.
A rate times a size
A sweep reported what it costs to let every candidate choose its own tuning parameter and found it flat across the list. It was reporting a product, and the two things multiplied together do not behave the same way at all.
The quarrel that changes the winner
A disagreement about the tuning parameter costs 0.031 when it changes which candidate the table selects and −0.0007 when it does not. The distance between the values disagreed about has nothing to do with it.
How often it matters
The disagreement rate rises by half across the list and the share of disagreements that decide anything falls by nearly the same factor. Their product — how often the tuning list changes which candidate wins — sits at an eighth and does not move.
What a longer sample settles
At a hundred and twenty rows, letting each candidate choose its own whitening changes which of fifteen candidates wins on about an eighth of draws, whatever the list, the table or the law. At four hundred and eighty rows it changes the winner on 1.0% of draws for a window and 2.3% for an order, and at nine hundred and sixty on a quarter of one per cent. The sample settles it through one factor only: how often the candidates disagree about the tuning value hardly moves, and the share of their disagreements that change the winner collapses.