Significant P-Values and Overlapping Confidence Intervals

March 25, 2013

(This article was first published on Statistical Research » R, and kindly contributed to R-bloggers)

There are all sorts of problems with p-values and confidence intervals and I have no intention (or the time) to cover all those problems right now.  However, a big problem is that most people have no idea what p-values really mean. Here is one example of a common problem with p-values and how it relates to confidence intervals.  The problem arises when there are two  random variables (from independent populations), each with a mean and variance.  A confidence interval can be constructed around each sample mean.  Using these confidence intervals might be a tempting way to explain whether two values are statistically different.  The issue is that a person may see that the confidence intervals overlap and therefore declare that there is no difference.  Simply put this is not one of those iff (if and only if) situations.  If the confidence intervals do not overlap then one can conclude that there is a statistical difference between means.  However, the opposite can not be concluded.  When the confidence intervals do overlap then there still may be a difference.

Here are simulated data from two independent normally distributed populations testing the confidence intervals and the p-values.  It can easily be seen that this is a fairly frequent event. So don’t make the mistake and make conclusions solely on confidence intervals.Histogram of Confidence Intervals

Beta Distribution for Overlapping Confidence Intervals

#Set some constants
alpha = .05
m = 15
n = 15
nsim = 20000

#Function to calculate the t statistic. Same as t.test(x,y, var.eqal=T)
# `spooled` can easiliy be modified.
m = length(x)
n = length(y)
spooled = sqrt(((m-1)*sd(x)^2+(n-1)*sd(y)^2)/(m+n-2))
tstat = (mean(x)-mean(y))/(spooled*sqrt(1/m+1/n))


calcInterval = function(){
x = rnorm(m,0,1)
y = rnorm(n,1,.8)
se.x = sd(x)/sqrt(m)
se.y = sd(y)/sqrt(n)

t.stat = tstatfunc(x,y)

p.val = (1-pt(abs(t.stat),m+n-2))*2 #Pooled Variance, two sided hypothesis
ci.x.ll = mean(x)-abs(qt(alpha/2,m-1))*se.x
ci.x.ul = mean(x)+abs(qt(alpha/2,m-1))*se.x
ci.y.ll = mean(y)-abs(qt(alpha/2,n-1))*se.y
ci.y.ul = mean(y)+abs(qt(alpha/2,n-1))*se.y
TTest = t.test(x,y, var.equal=TRUE) #Run the t.test() function for comparison
ret.val = c(p=p.val, t.p=TTest$p.value,
ci.x.ll=ci.x.ll, ci.x.ul=ci.x.ul,
ci.y.ll=ci.y.ll, ci.y.ul=ci.y.ul)


#Replicate a few times
my.sims = t(replicate(nsim,calcInterval())) )

#Do the intervals overlap and it's significant?
ci.vals = cbind(my.sims$ci.x.ll - my.sims$ci.y.ul, my.sims$ci.x.ul-my.sims$ci.y.ul, my.sims$ci.x.ul-my.sims$ci.y.ll)
overlapTest = (ci.vals[,1] > 0 & ci.vals[,2] > 0 & ci.vals[,3] > 0) |
(ci.vals[,1] < 0 & ci.vals[,2] < 0 & ci.vals[,3] < 0)
my.sims = cbind(my.sims,ci.vals,NotOverlap=overlapTest)


rbeta(100000,sum(my.sims$CI.p)+1, nsim-sum(my.sims$CI.p)+1) ##CI.p is a binomial distribution.
, nclass=100, xlab="Proportion", freq=F, main=expression("Histogram of Overlapping Confidence Intervals and p<"*alpha*" from Beta Distribution"))
#What percent have overlapping CI and p < alpha? -- "Significant" but yet CI indicate otherwise.
#Multiple comparisons
my.sims$CI.p = as.numeric( !my.sims$NotOverlap & my.sims$p < alpha )
my.sims$CI.p2 = as.numeric( my.sims$NotOverlap & my.sims$p > alpha )
my.sims$my.diff = my.sims$p-my.sims$t.p # Check calculations for consistency


#How many have confidence intervals that do not overlap but yet are still "Significant"?
my.sims$CI.p2 = as.numeric( my.sims$NotOverlap & my.sims$p > alpha )

#Histograms of the intervals
hist(my.sims$t.p, nclass=100)
subset(my.sims,my.sims$p > .5)

#Histograms of the intervals
hist(my.sims$ci.y.ul, nclass=100, xlim=c(-2,3), ylim=c(0,2), col=4, freq=F,
main="Histogram of Confidence Intervals", xlab="Value")
hist(my.sims$ci.y.ll, nclass=100, add=T, col=4, freq=F)
hist(my.sims$ci.x.ul, nclass=100, add=T, col=2, freq=F)
hist(my.sims$ci.x.ll, nclass=100, add=T, col=2, freq=F)

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