Valid \(P\)-values Are Uniform Under the Null Model

Here we show that valid \(P\)-values have specific properties, when the null model is true. We first generate two variables (\(Y\), \(X\)) that come from the same normal distribution with a \(\mu\) of 0 and \(\sigma\) of 1, each with a total of 1000 observations. We assume that there is no relationship between these two variables. We run a simple t-test between \(Y\) and \(X\) and iterate this 100000 times and compute 100000 \(P\)-values to see the overall distribution of the \(P\)-values, which we then plot using a histogram./

RNGkind(kind = "L'Ecuyer-CMRG")
set.seed <- 1031
n.sim <- 100
t.sim <- numeric(n.sim)
n.samp <- 1000

for (i in 1:n.sim) {
    X <- rnorm(n.samp, mean = 0, sd = 1)
    Y <- rnorm(n.samp, mean = 0, sd = 1)
    df <- data.frame(X, Y)
    t <- t.test(X, Y, data = df)
    t.sim[i] <- t[[3]]
}

ggplot(NULL, aes(x = t.sim)) + geom_histogram(bins = 30, col = "black",
    fill = "#99c7c7", alpha = 0.25) + labs(title = "Distribution of P-values Under the Null",
    x = "P-value") + scale_x_continuous(breaks = seq(0, 1, 0.1)) +
    theme_bw()

This can also be shown using the TeachingDemos R package, which has a function dedicated to showing this phenomenon.

library("TeachingDemos")
#> 
#> Attaching package: 'TeachingDemos'
#> The following object is masked from 'package:plotly':
#> 
#>     subplot
#> The following objects are masked from 'package:Hmisc':
#> 
#>     cnvrt.coords, subplot
RNGkind(kind = "L'Ecuyer-CMRG")
set.seed <- 1031
obs_p <- Pvalue.norm.sim(n = 1000, mu = 0, mu0 = 0, sigma = 1,
    sigma0 = 1, test = "t", alternative = "two.sided", alpha = 0.05,
    B = 1e+05)

ggplot(NULL, aes(x = obs_p)) + geom_histogram(bins = 30, col = "black",
    fill = "#99c7c7", alpha = 0.25) + labs(title = "Distribution of P-values Under the Null",
    x = "P-value") + scale_x_continuous(breaks = seq(0, 1, 0.1)) +
    theme_bw()

As you can see, when the null model is true, the distribution of \(P\)-values is uniform. Valid \(P\)-values are uniform under the null hypothesis and their corresponding \(S\)-values are exponentially distributed. We run the same simulation as before, but then convert the obtained \(P\)-values into \(S\)-values, to see how they are distributed.

RNGkind(kind = "L'Ecuyer-CMRG")
set.seed <- 1031
n.sim <- 100
t.sim <- numeric(n.sim)
n.samp <- 1000

for (i in 1:n.sim) {
    X <- rnorm(n.samp, mean = 0, sd = 1)
    Y <- rnorm(n.samp, mean = 0, sd = 1)
    df <- data.frame(X, Y)
    t <- t.test(X, Y, data = df)
    t.sim[i] <- t[[3]]
}

ggplot(NULL, aes(x = -log2(t.sim))) + geom_histogram(bins = 30,
    col = "black", fill = "#d46c5b", alpha = 0.5) + labs(title = "Distribution of S-values Under the Null",
    x = "S-value (Bits of Information)") + theme_bw()

Posterior Predictive \(P\)-values

Despite the name, posterior predictive \(P\)-values are not considered valid frequentist \(P\)-values because they do not meet the uniformity criterion, instead they are pulled towards the parameter value 0.5. For further discussion, see our technical supplement along with Greenland (2019) for comprehensive theoretical discussions.^{2, 3}

A quick excerpt from our main paper and the technical supplement explains why this is not the case,

As discussed in the Supplement, in Bayesian settings one may see certain \(P\)-values that are not valid frequentist \(P\)-values, the primary example being the posterior predictive \(P\)-value⁴;⁵; unfortunately, the negative logs of such invalid \(P\)-values do not measure surprisal at the statistic given the model, and so are not valid \(S\)-values.

The decision rule “reject H if \(p\leq\) \(\alpha\)” will reject H 100\(\alpha\)% of the time under sampling from a model M obeying H (i.e., the Type-1 error rate of the test will be \(\alpha\)) provided the random variable \(P\) corresponding to \(p\) is valid (uniform under the model M used to compute it), but not necessarily otherwise⁶. This is one reason why frequentist writers reject invalid \(P\)-values (such as posterior predictive \(P\)-values, which highly concentrate around 0.50) and devote considerable technical coverage to uniform \(P\)-values⁶;⁵;⁴. A valid \(P\)-value (“U-value”) translates into an exponentially distributed \(S\)-value with a mean of 1 nat or \(\log_{2}(e)=1.443\) bits where \(e\) is the base of the natural logs.

Uniformity is also central to the “refutational information” interpretation of the \(S\)-value used here, for it is necessary to ensure that the \(P\)-value \(p\) from which \(s\) is derived is in fact the percentile of the observed value of the test statistic in the distribution of the statistic under M, thus making small \(p\) surprising under M and making \(s\) the corresponding degree of surprise. Because posterior predictive \(P\)-values do not translate into sampling percentiles of the statistic under the hypothesis (in fact, they are pulled toward 0.5 from the correct percentiles)⁵;⁴, the resulting negative log does not measure surprisal at the statistic given M, and so is not a valid \(S\)-value in our terms.

And indeed, we can show this phenomenon below with simulations. Here we fit a simple Bayesian regression model with a weakly informative prior normal(0, 10) using rstanarm, where both the predictor and response variable come from the same distribution and have the same location and scale parameters (\(\mu = 0\), \(\sigma = 1\). We then calculate the observed test statistics, along with their distributions, and convert them into posterior predictive \(P\)-values and plot them using Bayesplot functions. Then, we iterate this 1000 times to examine the distribution of posterior predictive \(P\)-values and compare them to standard \(P\)-values that are known to be uniform.

But first, we’ll generate the distribution of the test statistic from one model.

library("bayesplot")
library("rstan")
library("rstanarm")
rstan_options(auto_write = TRUE)
options(mc.cores = 4)
teal <- c("#99c7c7")
color_scheme_set("teal")
RNGkind(kind = "L'Ecuyer-CMRG")
n.samp <- 100
X <- rnorm(n.samp, mean = 0, sd = 1)
Y <- rnorm(n.samp, mean = 0, sd = 1)
df <- data.frame(X, Y)
mod1 <- stan_glm(Y ~ X, data = df, chains = 1, cores = 4, refresh = 0,
    prior = normal(0, 10))
#> Error in if (!prior_dist_name %in% unlist(ok_dists)) {: argument is of length zero
yrep <- posterior_predict(mod1)
#> Error in eval(expr, envir, enclos): object 'mod1' not found

h <- ppc_stat(Y, yrep, stat = "median", freq = TRUE, binwidth = 0.01) +
    labs(title = "Distribution of Posterior Test Statistic") +
    theme_bw() + yaxis_text(on = TRUE)
#> Error in eval(expr, envir, enclos): object 'yrep' not found

values_all <- h[["plot_env"]][["T_yrep"]]
#> Error in eval(expr, envir, enclos): object 'h' not found
prob_to_find <- h[["plot_env"]][["T_y"]]
#> Error in eval(expr, envir, enclos): object 'h' not found
quantInv <- function(distr, value) ecdf(distr)(value)
posterior_p_value <- quantInv(values_all, prob_to_find)
#> Error in eval(expr, envir, enclos): object 'values_all' not found

l <- ppc_stat_2d(Y, yrep) + theme_bw() + labs(title = "Distribution of Posterior Test Statistic")
#> Error in eval(expr, envir, enclos): object 'yrep' not found

plot(h)
#> Error in h(simpleError(msg, call)): error in evaluating the argument 'x' in selecting a method for function 'plot': object 'h' not found
plot(l)
#> Error in h(simpleError(msg, call)): error in evaluating the argument 'x' in selecting a method for function 'plot': object 'l' not found

print(prob_to_find)
#> Error in h(simpleError(msg, call)): error in evaluating the argument 'x' in selecting a method for function 'print': object 'prob_to_find' not found

The above is the posterior predictive test statistic for one model, along with it’s distribution. Now let’s iterate this process, convert them into posterior predictive \(P\)-values, and generate their distribution.

rstan_options(auto_write = TRUE)
options(mc.cores = 4)
RNGkind(kind = "L'Ecuyer-CMRG")
set.seed <- 1031
n.sim <- 100
ppp <- numeric(n.sim)
n.samp <- 1000

quantInv <- function(distr, value) ecdf(distr)(value)

for (i in 1:length(ppp)) {
    X <- rnorm(n.samp, mean = 0, sd = 1)
    Y <- rnorm(n.samp, mean = 0, sd = 1)
    df <- data.frame(X, Y)
    mod1 <- stan_glm(Y ~ X, data = df, chains = 1, cores = 4,
        iter = 1000, refresh = 0, prior = normal(0, 10))
    yrep <- posterior_predict(mod1)
    h <- ppc_stat(Y, yrep, stat = "median")
    values_all <- h[["plot_env"]][["T_yrep"]]
    prob_to_find <- h[["plot_env"]][["T_y"]]
    posterior_p_value <- quantInv(values_all, prob_to_find)
    ppp[i] <- posterior_p_value
}
#> Error in if (!prior_dist_name %in% unlist(ok_dists)) {: argument is of length zero

ggplot(NULL, aes(x = ppp)) + geom_histogram(bins = 30, col = "black",
    fill = "#99c7c7", alpha = 0.25) + labs(title = "Distribution of Posterior Predictive P-values",
    subtitle = "From Simulation of 1000 Simple Linear Regressions",
    x = "Posterior Predictive P-value") + scale_x_continuous(breaks = seq(0,
    1, 0.1)) + theme_bw()

We can also show this in Stata 16.1, using their new bayesstats ppvalues command which generates posterior predictive \(P\)-values.

version 16.1
set obs 100
/**
Generate variables from a normal distribution like before
*/
generate x = rnormal(0, 1)
generate y = rnormal(0, 1)
/**
We set up our model here 

*/
parallel initialize 8, f
bayesmh y x, likelihood(normal({var})) prior({var}, normal(0, 10)) ///
prior({y:}, normal(0, 10)) rseed(1031) saving(coutput_pred, replace) mcmcsize(1000)
/**
We use the bayespredict command to make predictions from the model
*/
bayespredict (mean:@mean({_resid})) (var:@variance({_resid})), ///
rseed(1031) saving(coutput_pred, replace) 
/**
Then we calculate the posterior predictive P-values
*/
bayesstats ppvalues {mean} using coutput_pred
#> . version 16.1
#> 
#> . set obs 100
#> Number of observations (_N) was 0, now 100.
#> 
#> . /**
#> > Generate variables from a normal distribution like before
#> > */
#> . generate x = rnormal(0, 1)
#> 
#> . generate y = rnormal(0, 1)
#> 
#> . /**
#> > We set up our model here 
#> > 
#> > */
#> . parallel initialize 8, f
#> N Child processes: 8
#> Stata dir:  /Applications/Stata/StataBE.app/Contents/MacOS/stata-be
#> 
#> . bayesmh y x, likelihood(normal({var})) prior({var}, normal(0, 10)) ///
#> > prior({y:}, normal(0, 10)) rseed(1031) saving(coutput_pred, replace) mcmcsize(1000)
#>   
#> Burn-in ...
#> Simulation ...
#> 
#> Model summary
#> ------------------------------------------------------------------------------
#> Likelihood: 
#>   y ~ normal(xb_y,{var})
#> 
#> Priors: 
#>   {y:x _cons} ~ normal(0,10)                                               (1)
#>         {var} ~ normal(0,10)
#> ------------------------------------------------------------------------------
#> (1) Parameters are elements of the linear form xb_y.
#> 
#> Bayesian normal regression                       MCMC iterations  =      3,500
#> Random-walk Metropolis–Hastings sampling         Burn-in          =      2,500
#>                                                  MCMC sample size =      1,000
#>                                                  Number of obs    =        100
#>                                                  Acceptance rate  =      .2068
#>                                                  Efficiency:  min =     .03878
#>                                                               avg =     .07757
#> Log marginal-likelihood = -149.68351                          max =      .1317
#>  
#> ------------------------------------------------------------------------------
#>              |                                                Equal-tailed
#>              |      Mean   Std. dev.     MCSE     Median  [95% cred. interval]
#> -------------+----------------------------------------------------------------
#> y            |
#>            x | -.0758396    .097915   .008532  -.0704775  -.2600037   .1054718
#>        _cons |  .0238076   .1107038   .014035   .0326669  -.1793756   .2293247
#> -------------+----------------------------------------------------------------
#>          var |  .9773565   .1313659   .021096   .9384637   .7882847   1.323255
#> ------------------------------------------------------------------------------
#> 
#> file coutput_pred.dta saved.
#> 
#> . /**
#> > We use the bayespredict command to make predictions from the model
#> > */
#> . bayespredict (mean:@mean({_resid})) (var:@variance({_resid})), ///
#> > rseed(1031) saving(coutput_pred, replace) 
#> 
#> Computing predictions ...
#> 
#> file coutput_pred.dta saved.
#> file coutput_pred.ster saved.
#> 
#> . /**
#> > Then we calculate the posterior predictive P-values
#> > */
#> . bayesstats ppvalues {mean} using coutput_pred
#> 
#> Posterior predictive summary   MCMC sample size =     1,000
#> 
#> -----------------------------------------------------------
#>            T |      Mean   Std. dev.  E(T_obs)  P(T>=T_obs)
#> -------------+---------------------------------------------
#>         mean |  .0004223   .0957513    .008651         .495
#> -----------------------------------------------------------
#> Note: P(T>=T_obs) close to 0 or 1 indicates lack of fit.
#> 
#> .

As we can see from the R plot above, the test statistics are are generally concentrated around 0.5 and the distribution (as shown above via the R code) hardly resembles the uniform distribution of \(P\)-value under the null model. Further, the base-2 log transformation of posterior predictive \(P\)-values is not exponentially distributed, making them invalid \(S\)-values in our terms.

ggplot(NULL, aes(x = (-log2(ppp)))) + geom_histogram(bins = 30,
    col = "black", fill = "#d46c5b", alpha = 0.25) + labs(title = "Distribution of -log2(Posterior Predictive P-values)",
    subtitle = "S-values Produced From Posterior Predictive P-values",
    x = "-log2(Posterior Predictive P-value)") + theme_bw()
#> Warning: Removed 100 rows containing non-finite outside the scale range (`stat_bin()`).
#> Warning in max(f): no non-missing arguments to max; returning -Inf
#> Error in `geom_histogram()`:
#> ! Problem while computing stat.
#> ℹ Error occurred in the 1st layer.
#> Caused by error in `seq_len()`:
#> ! argument must be coercible to non-negative integer

Table 1: Some \(P\)-values, \(S\)-values, Maximum Likelihood Ratios, and Likelihood Ratio Statistics

Here, we look at some common \(P\)-values, and how they correspond to other information statistics and likelihood measures.

pvalue <- c(0.99, 0.9, 0.5, 0.25, 0.1, 0.05, 0.025, 0.01, 0.005,
    1e-04, paste("5 sigma (~ 2.9 in 10 million)"), paste("1 in 100 million (GWAS)"),
    paste("6 sigma (~ 1 in a billion)"))

svalue <- round(c(-log2(c(0.99, 0.9, 0.5, 0.25, 0.1, 0.05, 0.025,
    0.01, 0.005, 1e-04)), 21.7, 26.6, 29.9), 2)

pvalue[1:10] <- formatC(pvalue[1:10], format = "e", digits = 2)

mlr <- round(c(1, 1.01, 1.26, 1.94, 3.87, 6.83, 12.3, 27.6, 51.4,
    1935, (5.2 * (10^5)), (1.4 * (10^7)), (1.3 * (10^8))), 2)

# likelihood ratio statistic

lr <- round(c(0.00016, 0.016, 0.45, 1.32, 2.71, 3.84, 5.02, 6.63,
    7.88, 15.1, 26.3, 32.8, 37.4), 2)

table1 <- data.frame(pvalue, svalue, mlr, lr)

colnames(table1) <- c("P-value (compatibility)", "S-value (bits)",
    "Maximum Likelihood Ratio", "Deviance Statistic 2ln(MLR)")

kbl(table1, format = "html", padding = 45, longtable = TRUE,
    color = "#777") %>%
    row_spec(row = 0, color = "#777", bold = T) %>%
    column_spec(column = 1:4, color = "#777", bold = F) %>%
    kable_classic(full_width = TRUE, html_font = "Cambria", lightable_options = "basic",
        font_size = 17, fixed_thead = list(enabled = F)) %>%
    footnote(general_title = "Abbreviations: ", title_format = "underline",
        general = c("Table 1 $P$-values                  and binary $S$-values, with corresponding maximum-likelihood ratios (MLR) and deviance (likelihood-ratio) statistics for a simple test hypothesis H under background assumptions A"))

For further discussion of 5 and 6 sigma cutoffs, see⁷.

Frequentist Interval Estimate Percentiles

Refer to Long-Run Coverage

Here we simulate a study where one group with 100 participants has an \(\mu\) of 100 with a \(\sigma\) of 20 and the second group has the same number of participants but an average of 80 and a standard deviation of 20. We compare them using a Welch’s \(t\)-test and generate 95% compatibility intervals several times, specifically 100 times, and then plot them. Since we know the mean difference is 20, we wish to see how often the interval estimates cover this true parameter value.

This shows that the intervals tend to vary simply as a result of randomness, and that the proper interpretation of the attached percentile is about long run coverage of the true parameter. However, this does not preclude interpretation of a single interval estimate from a study.⁸ As we write in the Replace unrealistic “confidence” claims with compatibility measures section of our paper.¹

The fact that “confidence” refers to the procedure behavior, not the reported interval, seems to be lost on most researchers. Remarking on this subtlety, when Jerzy Neyman discussed his confidence concept in 1934 at a meeting of the Royal Statistical Society, Arthur Bowley replied, “I am not at all sure that the ‘confidence’ is not a confidence trick.”⁹. And indeed, 40 years later, Cox and Hinkley warned, “interval estimates cannot be taken as probability statements about parameters, and foremost is the interpretation ‘such and such parameter values are consistent with the data.’”⁸. Unfortunately, the word “consistency” is used for several other concepts in statistics, while in logic it refers to an absolute condition (of noncontradiction); thus, its use in place of “confidence” would risk further confusion.

To address the problems above, we exploit the fact that a 95% CI summarizes the results of varying the test hypothesis H over a range of parameter values, displaying all values for which \(p\) > 0.05¹⁰ and hence \(s\) < 4.32 bits³;¹¹. Thus the CI contains a range of parameter values that are more compatible with the data than are values outside the interval, under the background assumptions³;¹². Unconditionally (and thus even if the background assumptions are uncertain), the interval shows the values of the parameter which, when combined with the background assumptions, produce a test model that is “highly compatible” with the data in the sense of having less than 4.32 bits of information against it. We thus refer to CI as compatibility intervals rather than confidence intervals¹³;³;¹¹; their abbreviation remains “CI.” We reject calling these intervals “uncertainty intervals,” because they do not capture uncertainty about background assumptions¹³.

Indeed, this also has to do with our paper on deemphasizing the model assumptions that are often behind common statistical outputs, and why it is necessary to treat them as uncertain, rather than given.¹⁴ For example, a 95% interval estimate is assumed to be free of bias in its construction, however, it’s coverage claims are no longer so, once there are systematic errors in play. Many of these common, classical statistical procedures are designed to deal with random variation, and less so with bias (a relatively new field, with shiny new methods).

Brown et al. (2017) Reanalysis

Taken from the Brown et al. data.^{15, 16}

Here we take the reported statistics from the Brown et al. studies in order to run statistical tests of different alternative test hypotheses and use those results to construct various functions.

We calculate the standard errors from the point estimate and the confidence (compatibility) limits.

se <- log(2.59/0.997)/3.92

logUL <- log(2.59)
logLL <- log(0.997)

logpoint <- log(1.61)

logpoint + (1.96 * se)
#> [1] 0.954
logpoint - (1.96 * se)
#> [1] -0.0011

testhypothesis <- c("Halving of hazard", "No effect (null)",
    "Point estimate", "Doubling of hazard", "Tripling of hazard",
    "Quintupling of hazard")

hazardratios <- c(0.5, 1, 1.61, 2, 3, 5)
pvals <- c(1.6e-06, 0.05, 1, 0.37, 0.01, 3.2e-06)
svals <- round(-log2(pvals), 2)
mlr2 <- c((1 * 10^5), 6.77, 1, 1.49, 26.2, (5 * 10^4))
lr <- round(c(exp((((log(0.5/1.61))/se)^2)/(2)), exp((((log(1/1.61))/se)^2)/(2)),
    exp((((log(1.61/1.61))/se)^2)/(2)), exp((((log(2/1.61))/se)^2)/(2)),
    exp((((log(3/1.61))/se)^2)/(2)), exp((((log(5/1.61))/se)^2)/(2))),
    3)

LR <- formatC(lr, format = "e", digits = 2)

table2 <- data.frame(testhypothesis, hazardratios, pvals, svals,
    mlr2, LR)

colnames(table2) <- c("Test Hypothesis", "HR", "P-values", "S-values",
    "MLR", "LR")

kbl(table2, format = "html", padding = 45, longtable = TRUE,
    color = "#777") %>%
    row_spec(row = 0, color = "#777", bold = T) %>%
    column_spec(column = 1:6, color = "#777", bold = F) %>%
    kable_classic(full_width = TRUE, html_font = "Cambria", lightable_options = "basic",
        font_size = 15, fixed_thead = list(enabled = F))

label <- c("Brown et al. (2017)\n JAMA", "Brown et al. (2017)\n J Clin Psychiatry")

point <- c(1.61, 1.7)
lower <- c(0.997, 1.1)
upper <- c(2.59, 2.6)

df <- data.frame(label, point, lower, upper)

ggplot(data = df, mapping = aes(x = label, y = point, ymin = lower,
    ymax = upper, group = label)) + geom_pointrange(color = "#007C7C",
    size = 1.5, alpha = 0.4) + geom_hline(yintercept = 1, lty = 3,
    color = "#d46c5b", alpha = 0.5) + coord_flip() + scale_y_log10(breaks = scales::pretty_breaks(n = 10),
    limits = c(0.8, 4)) + labs(title = "Association Between Serotonergic Antidepressant Exposure 
               \nDuring Pregnancy and Child Autism Spectrum Disorder",
    subtitle = "Reported 95% Compatibility Intervals From Primary Results",
    x = "Study", y = "Hazard Ratio (JAMA) + 
            Adjusted Pooled Odds Ratio (J Clin Psychiatry)") +
    annotate(geom = "text", x = 1.5, y = 1, size = 5, label = "Null parameter value of 1",
        color = "#d46c5b", alpha = 0.75) + annotate(geom = "text",
    x = 2.2, y = 1.8, size = 5, label = "Point Estimate = 1.61, 
           Lower Limit = 0.997, Upper Limit = 2.59",
    color = "#000000", alpha = 0.75) + annotate(geom = "text",
    x = 1.2, y = 1.8, size = 5, label = "Point Estimate = 1.7, 
           Lower Limit = 1.1, Upper Limit = 2.6",
    color = "#000000", alpha = 0.75) + theme_light() + theme(axis.text.y = element_text(angle = 90,
    hjust = 1, size = 13)) + theme(axis.text.x = element_text(size = 13)) +
    theme(title = element_text(size = 13))

library("concurve")

curve1 <- curve_rev(point = 1.61, LL = 0.997, UL = 2.59, measure = "ratio")

kbl(curve_table(curve1[[1]]), format = "html", padding = 45,
    longtable = TRUE, color = "#777", row.names = F, col.names = colnames(curve_table(curve1[[1]]))) %>%
    row_spec(row = 0, color = "#777", bold = T) %>%
    column_spec(column = 1:7, color = "#777", bold = F) %>%
    kable_classic(full_width = TRUE, html_font = "Cambria", lightable_options = "basic",
        font_size = 17, fixed_thead = list(enabled = F)) %>%
    footnote(general_title = c("Table of Statistics for Various Interval Estimate Percentiles"),
        general = " ")

ggcurve(curve1[[1]], type = "c", measure = "ratio", nullvalue = c(1),
    levels = c(0.5, 0.75, 0.95)) + labs(title = expression(paste(italic(P),
    "-value (Compatibility) Function")), subtitle = expression(paste(italic(P),
    "-values for a range of hazard ratios (HR)")), x = "Hazard Ratio (HR)",
    y = expression(paste(italic(P), "-value"))) + geom_vline(xintercept = 1.61,
    lty = 1, color = "gray", alpha = 0.2) + geom_vline(xintercept = 2.59,
    lty = 1, color = "gray", alpha = 0.2) + theme(plot.title = element_text(size = 12),
    plot.subtitle = element_text(size = 11), axis.title.x = element_text(size = 12),
    axis.title.y = element_text(size = 12), text = element_text(size = 11))

curve1 <- curve_rev(point = 1.61, LL = 0.997, UL = 2.59, measure = "ratio")

curve2 <- curve_rev(point = 1.7, LL = 1.1, UL = 2.6, measure = "ratio")

ggcurve(curve1[[2]], type = "cdf", measure = "ratio", nullvalue = c(1)) +
    labs(title = "P-values for a range of hazard ratios (HR)",
        subtitle = "Association Between Serotonergic Antidepressant Exposure 
       \nDuring Pregnancy and Child Autism Spectrum Disorder",
        x = "Hazard Ratio (HR)", y = "Cumulative Compatibility") +
    theme(plot.title = element_text(size = 12), plot.subtitle = element_text(size = 11),
        axis.title.x = element_text(size = 12), axis.title.y = element_text(size = 12),
        text = element_text(size = 11))

lik2 <- curve_rev(point = 1.7, LL = 1.1, UL = 2.6, type = "l",
    measure = "ratio")

lik1 <- curve_rev(point = 1.61, LL = 0.997, UL = 2.59, type = "l",
    measure = "ratio")

plot_compare(data1 = lik1[[1]], data2 = lik2[[1]], type = "l1",
    measure = "ratio", nullvalue = TRUE, title = "Brown et al. 2017. J Clin Psychiatry. vs. 
              \nBrown et al. 2017. JAMA.",
    subtitle = "J Clin Psychiatry: OR = 1.7, 1/6.83 LI: LL = 1.1, UL = 2.6 
                         \nJAMA: HR = 1.61, 1/6.83 LI: LL = 0.997, UL = 2.59",
    xaxis = "Hazard Ratio / Odds Ratio") + theme(plot.title = element_text(size = 12),
    plot.subtitle = element_text(size = 11), axis.title.x = element_text(size = 12),
    axis.title.y = element_text(size = 12), text = element_text(size = 11))

plot_compare(data1 = curve1[[1]], data2 = curve2[[1]], type = "c",
    measure = "ratio", nullvalue = TRUE, title = "Brown et al. 2017. J Clin Psychiatry. vs. 
              \nBrown et al. 2017. JAMA.",
    subtitle = "J Clin Psychiatry: OR = 1.7, 1/6.83 LI: LL = 1.1, UL = 2.6 
              \nJAMA: HR = 1.61, 1/6.83 LI: LL = 0.997, UL = 2.59",
    xaxis = "Hazard Ratio / Odds Ratio") + theme(plot.title = element_text(size = 12),
    plot.subtitle = element_text(size = 11), axis.title.x = element_text(size = 12),
    axis.title.y = element_text(size = 12), text = element_text(size = 11))

ggcurve(data = curve1[[1]], type = "s", measure = "ratio", nullvalue = c(1),
    title = "S-value (Surprisal) Function", subtitle = "S-Values (surprisals) for a range of hazard ratios (HR)",
    xaxis = "Hazard Ratio", yaxis1 = "S-value (bits of information)") +
    theme(plot.title = element_text(size = 12), plot.subtitle = element_text(size = 11),
        axis.title.x = element_text(size = 12), axis.title.y = element_text(size = 12),
        text = element_text(size = 11))

hrvalues <- seq(from = 0.65, to = 3.98, by = 0.01)

se <- log(2.59/0.997)/3.92

zscore <- sapply(hrvalues, function(i) (log(i/1.61)/se))

support <- exp((-zscore^2)/2)

likfunction <- data.frame(hrvalues, zscore, support)

ggplot(data = likfunction, mapping = aes(x = hrvalues, y = support)) +
    geom_line() + geom_vline(xintercept = 1, lty = 3, color = "#d46c5b",
    alpha = 0.75) + geom_hline(yintercept = (1/6.83), lty = 1,
    color = "#333333", alpha = 0.05) + geom_ribbon(aes(x = hrvalues,
    ymin = min(support), ymax = support), fill = "#d46c5b", alpha = 0.1) +
    labs(title = "Relative Likelihood Function", subtitle = "Relative likelihoods for a range of hazard ratios",
        x = "Hazard Ratio (HR)", y = "Relative Likelihood \n1/MLR") +
    annotate(geom = "text", x = 1.65, y = 0.2, label = "1/6.83 LI = 0.997, 2.59",
        size = 4, color = "#000000") + theme_bw() + theme(plot.title = element_text(size = 12),
    plot.subtitle = element_text(size = 11), axis.title.x = element_text(size = 12),
    axis.title.y = element_text(size = 12), text = element_text(size = 11)) +
    scale_x_log10(breaks = scales::pretty_breaks(n = 10)) + scale_y_continuous(expand = expansion(mult = c(0.01,
    0.0125)), breaks = seq(0, 1, 0.1))

support <- (zscore^2)/2

likfunction <- data.frame(hrvalues, zscore, support)

ggplot(data = likfunction, mapping = aes(x = hrvalues, y = support)) +
    geom_line() + geom_vline(xintercept = 1, lty = 3, color = "#d46c5b",
    alpha = 0.75) + geom_ribbon(aes(x = hrvalues, ymin = support,
    ymax = max(support)), fill = "#d46c5b", alpha = 0.1) + labs(title = "Log-Likelihood Function",
    subtitle = "Log-likelihoods for a range of hazard ratios",
    x = "Hazard Ratio (HR)", y = "ln(MLR)") + theme_bw() + theme(axis.title.x = element_text(size = 13),
    axis.title.y = element_text(size = 13)) + scale_x_log10(breaks = scales::pretty_breaks(n = 10)) +
    scale_y_continuous(expand = expansion(mult = c(0.01, 0.0125)),
        breaks = seq(0, 7, 1)) + theme(text = element_text(size = 15)) +
    theme(plot.title = element_text(size = 12), plot.subtitle = element_text(size = 12))

support <- (zscore^2)

likfunction <- data.frame(hrvalues, zscore, support)

ggplot(data = likfunction, mapping = aes(x = hrvalues, y = support)) +
    geom_line() + geom_vline(xintercept = 1, lty = 3, color = "#d46c5b",
    alpha = 0.75) + geom_hline(yintercept = 3.84, lty = 1, color = "#333333",
    alpha = 0.05) + geom_ribbon(aes(x = hrvalues, ymin = support,
    ymax = max(support)), fill = "#d46c5b", alpha = 0.1) + annotate(geom = "text",
    x = 1.65, y = 4.4, label = "1/6.83 LI = 0.997, 2.59", size = 4,
    color = "#000000") + theme_bw() + theme(plot.title = element_text(size = 12),
    plot.subtitle = element_text(size = 11), axis.title.x = element_text(size = 12),
    axis.title.y = element_text(size = 12), text = element_text(size = 11)) +
    scale_x_log10(breaks = scales::pretty_breaks(n = 10)) + scale_y_continuous(expand = expansion(mult = c(0.01,
    0.0125)), breaks = seq(0, 14, 2)) + labs(title = "Deviance Function",
    subtitle = "Deviance statistics for a range of hazard ratios",
    x = "Hazard Ratio (HR)", y = " Deviance Statistic \n2ln(MLR)")

library("cowplot")
plot_grid(confcurve, surprisalcurve, relsupportfunction, deviancefunction,
    ncol = 2, nrow = 2)

Statistical Package Citations

Please remember to cite the R packages if you use any of the R scripts from above. The citation for our¹ can be found below in the References section or it can be downloaded here for a reference manager.

citation("concurve")
citation("TeachingDemos")
citation("ProfileLikelihood")
citation("rstan")
citation("rstanarm")
citation("bayesplot")
citation("knitr")
citation("kableExtra")
citation("ggplot2")
citation("cowplot")
citation("Statamarkdown")

Environment

The analyses were run on:

si <- sessionInfo()
print(si, RNG = TRUE, locale = TRUE)
#> R version 4.4.1 (2024-06-14)
#> Platform: aarch64-apple-darwin20
#> Running under: macOS Sonoma 14.6.1
#> 
#> Matrix products: default
#> BLAS:   /Library/Frameworks/R.framework/Versions/4.4-arm64/Resources/lib/libRblas.0.dylib 
#> LAPACK: /Library/Frameworks/R.framework/Versions/4.4-arm64/Resources/lib/libRlapack.dylib;  LAPACK version 3.12.0
#> 
#> Random number generation:
#>  RNG:     L'Ecuyer-CMRG 
#>  Normal:  Inversion 
#>  Sample:  Rejection 
#>  
#> locale:
#> [1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8
#> 
#> time zone: America/New_York
#> tzcode source: internal
#> 
#> attached base packages:
#>  [1] splines   grid      stats4    parallel  stats     graphics  grDevices utils     datasets  methods   base     
#> 
#> other attached packages:
#>   [1] TeachingDemos_2.13    plotly_4.10.4         TSstudio_0.1.7        tfautograph_0.3.2     tfdatasets_2.17.0    
#>   [6] keras_2.15.0          tensorflow_2.16.0     timetk_2.9.0          modeltime_1.3.0       workflowsets_1.1.0   
#>  [11] workflows_1.1.4       tune_1.2.1            rsample_1.2.1         recipes_1.1.0         parsnip_1.2.1        
#>  [16] modeldata_1.4.0       infer_1.0.7           dials_1.3.0           scales_1.3.0          tidymodels_1.2.0     
#>  [21] xgboost_1.7.8.1       prophet_1.0           rlang_1.1.4           astsa_2.1             bayesforecast_1.0.1  
#>  [26] smooth_4.0.2          greybox_2.0.2         glmnet_4.1-8          forecast_8.23.0       fable_0.3.4          
#>  [31] fabletools_0.4.2      tsibbledata_0.4.1     tsibble_1.1.5         rstanarm_2.32.1       texPreview_2.1.0     
#>  [36] tinytex_0.53          rmarkdown_2.28        brms_2.21.0           bootImpute_1.2.1      knitr_1.48.1         
#>  [41] boot_1.3-31           JuliaCall_0.17.5      reshape2_1.4.4        ProfileLikelihood_1.3 ImputeRobust_1.3-1   
#>  [46] gamlss_5.4-22         gamlss.dist_6.1-1     gamlss.data_6.0-6     mvtnorm_1.3-1         performance_0.12.3   
#>  [51] summarytools_1.0.1    tidybayes_3.0.7       htmltools_0.5.8.1     Statamarkdown_0.9.2   car_3.1-2            
#>  [56] carData_3.0-5         qqplotr_0.0.6         ggcorrplot_0.1.4.1    mitml_0.4-5           pbmcapply_1.5.1      
#>  [61] Amelia_1.8.2          Rcpp_1.0.13           blogdown_1.19.1       doParallel_1.0.17     iterators_1.0.14     
#>  [66] foreach_1.5.2         lattice_0.22-6        bayesplot_1.11.1      wesanderson_0.3.7     VIM_6.2.2            
#>  [71] colorspace_2.1-1      here_1.0.1            progress_1.2.3        loo_2.8.0             mi_1.1               
#>  [76] Matrix_1.7-0          broom_1.0.6           yardstick_1.3.1       svglite_2.1.3         Cairo_1.6-2          
#>  [81] cowplot_1.1.3         mgcv_1.9-1            nlme_3.1-166          xfun_0.47             broom.mixed_0.2.9.5  
#>  [86] reticulate_1.39.0     kableExtra_1.4.0      posterior_1.6.0       checkmate_2.3.2       parallelly_1.38.0    
#>  [91] miceFast_0.8.2        randomForest_4.7-1.1  missForest_1.5        miceadds_3.17-44      quantreg_5.98        
#>  [96] SparseM_1.84-2        MCMCpack_1.7-1        MASS_7.3-61           coda_0.19-4.1         latex2exp_0.9.6      
#>  [ reached getOption("max.print") -- omitted 23 entries ]
#> 
#> loaded via a namespace (and not attached):
#>   [1] igraph_2.0.3         Formula_1.2-5        rematch2_2.1.2       GPfit_1.0-8          tidyselect_1.2.1    
#>   [6] bridgesampling_1.1-2 rngtools_1.5.2       png_0.1-8            cli_3.6.3            arrayhelpers_1.1-0  
#>  [11] askpass_1.2.0        openssl_2.2.1        textshaping_0.4.0    officer_0.6.6        lhs_1.2.0           
#>  [16] curl_5.2.2           mime_0.12.1          evaluate_0.24.0      V8_5.0.0             stringi_1.8.4       
#>  [21] backports_1.5.0      desc_1.4.3           qqconf_1.3.2         httpuv_1.6.15        rappdirs_0.3.3      
#>  [26] details_0.3.0        prodlim_2024.06.25   KMsurv_0.1-5         doRNG_1.8.6          survminer_0.4.9     
#>  [31] DT_0.33              DBI_1.2.3            jquerylib_0.1.4      withr_3.0.1          tfruns_1.5.3        
#>  [36] tseries_0.10-57      class_7.3-22         systemfonts_1.1.0    rprojroot_2.0.4      lmtest_0.9-40       
#>  [41] formatR_1.14.1       colourpicker_1.3.0   htmlwidgets_1.6.4    fs_1.6.4             labeling_0.4.3      
#>  [46] ranger_0.16.0        DEoptimR_1.1-3       zoo_1.8-12           itertools_0.1-3      svUnit_1.0.6        
#>  [51] timechange_0.3.0     fansi_1.0.6          caTools_1.18.3       extremevalues_2.3.4  data.table_1.16.0   
#>  [56] timeDate_4032.109    pan_1.9              clipr_0.8.0          ellipsis_0.3.2       lazyeval_0.2.2      
#>  [61] yaml_2.3.10          survival_3.7-0       crayon_1.5.3         tensorA_0.36.2.1     later_1.3.2         
#>  [66] codetools_0.2-20     base64enc_0.1-3      shape_1.4.6.1        estimability_1.5.1   gdtools_0.4.0       
#>  [71] DiceDesign_1.10      foreign_0.8-87       pkgconfig_2.0.3      xml2_1.3.6           mathjaxr_1.6-0      
#>  [76] ggpubr_0.6.0         viridisLite_0.4.2    xtable_1.8-4         highr_0.11.1         plyr_1.8.9          
#>  [81] httr_1.4.7           tools_4.4.1          globals_0.16.3       hardhat_1.4.0        pkgbuild_1.4.4      
#>  [86] htmlTable_2.4.3      survMisc_0.5.6       shinyjs_2.1.0        crosstalk_1.2.1      twosamples_2.0.1    
#>  [91] MatrixModels_0.5-3   lme4_1.1-35.5        digest_0.6.37        numDeriv_2016.8-1.1  bookdown_0.40       
#>  [96] farver_2.1.2         furrr_0.3.1          tzdb_0.4.0           rapportools_1.1      rpart_4.1.23        
#>  [ reached getOption("max.print") -- omitted 97 entries ]

Stata

about
version
#> Stata/BE 17.0 for Mac (Apple Silicon)
#> Revision 21 May 2024
#> Copyright 1985-2021 StataCorp LLC
#> 
#> Total physical memory: 24.00 GB
#> 
#> Stata license: Single-user  perpetual
#> Serial number: 301706317553
#>   Licensed to: Zad Rafi
#>                AMG
#> 
#> version 17.0

References