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I'm trying to compare several methods by their performance on a set of synthetic data samples. For each method, I obtain a performance value between 0 and 1 for each of those samples. Then I plot a graph with the average performance per method

The problem now is that the achievable quality per sample varies strongly between different samples (if you wonder why, I generate random graphs and evaluate community detection methods on them, and sometimes strange things happen, like elements from the same community get disconnected due to sparseness etc). So showing error bars based on standard deviation or standard error tend to get really large.

Imagine one method yields [1, 0.5, 1], and the other one (one the same three samples) [0.5, 0.25, 0.5]. Which measure can I apply to *de*emphasize the between-sample variance in the series and emphasize the fact that method 1 always outperforms method 2? Or, to put it differently, how can I test whether method 1 is significantly better than method 2 without being mislead by the different range of the indiviual datapoints? (Also note that I typically have more than two methods to compare, this is just for the example)

Thanks, Nic

Update One thing I've done is to count, for each method, how many times its performance is within 95% of the top performance. The picture pretty much speaks in favor of sample-based variance, not robust vs less robust methods. However, I'm still uncertain about how to generate a statistically valid statement from that..?

Update two years after Just found this answer again. Simply for anyone who stumbles across this: I went with a sign-test: How many times is method x better than method y. Then the null-hypothesis is that one should be better than the other 50% of the time if there's no difference - computing the probability that the actual number of wins/losses stems from a 0.5 coinflip can be computed via the binomial distribution, and serves as your $p$.

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2 Answers 2

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You need to use some paired test, maybe paired t-test or a sign test is the distribution is really weired.

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  • $\begingroup$ thanks! however - which one would I use under which circumstance, and how would I deal with >2 methods? $\endgroup$
    – user979
    Commented Aug 17, 2010 at 16:56
  • $\begingroup$ Good question; test will only handle two methods, because it can only say if they are not equal. Still, you can convert scores for each sample to ranks and there take mean rank per method and select this with smallest mean. Then you can use test to justify if the best one is significantly better than the second. $\endgroup$
    – user88
    Commented Aug 17, 2010 at 17:32
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    $\begingroup$ You may also look at en.wikipedia.org/wiki/MaxDiff $\endgroup$
    – user88
    Commented Aug 17, 2010 at 18:09
  • $\begingroup$ Well that's a bunch of hints. I'll have a look at those, thx! $\endgroup$
    – user979
    Commented Aug 19, 2010 at 23:02
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I am not at all sure if ignoring the performance spread is a good idea. Ideally, you would want a method to be both reliable (i.e., have low spread) and be valid (i.e., give a performance measure of close to 1). Consider the following two output measures:

Method 1. [0.80, 0.60]

Method 2. [0.71, 0.69].

Unlike your example, there is no method that clearly dominates and in fact both methods perform equally well on average. Thus you may want to choose the one that is more reliable (i.e., has lower spread).

If you accept the above reasoning then your null hypothesis should be:

$$\frac{\mu_1}{\sigma_1} = \frac{\mu_2}{\sigma_2}$$

The above is analagous to the Sharpe ratio from finance and I am sure there is an extensive financial literature which discusses how to test hypothesis like the above and its extensions to more than 2 groups. Unfortunately, I am not well read up on that literature to help you.

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  • $\begingroup$ But the variability of results among one method is dominated by the variability of tests, so I am afraid the spread may be negligibly meaningful. $\endgroup$
    – user88
    Commented Aug 17, 2010 at 21:22
  • $\begingroup$ But, that is the point. If a method's performance is not robust to diversity of test situations then I would tend to prefer it less than a method that is more robust assuming of course that on average they are comparable. Of course, this is all abstract as we do not know if the OP really cares about reliability/robust methods. $\endgroup$
    – user28
    Commented Aug 17, 2010 at 21:39
  • $\begingroup$ Hi, thanks for the input. You're right about mean/variance tradeoff one has to look at. However, in the given situation, mbq's right, that's not so much the issue. The point is that results almost never looks like your [0.80, 0.60] / [0.71, 0.69] example: The first one would mostly stay better, just on a different scale. Still, this is a helpful reference, since I might use this at another point (I also have different families of sample generators which might need to be compared), and also I'll update my question. $\endgroup$
    – user979
    Commented Aug 18, 2010 at 10:15

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