Sample size and power for rare events

December 3, 2013

(This article was first published on Win-Vector Blog » R, and kindly contributed to R-bloggers)

We have written a bit on sample size for common events. We would like to extend this analysis to rare events.

In web marketing and a lot of other applications you are trying to estimate a probability of an event (like conversion) where the probability is fairly low (say 5% to 0.5%). In this case we our rules of thumb given in 1 and 2 are a bit inefficient as they do not use for p near zero on a Bernoulli event we know the variance is necessarily small. Losing this variance falls with p factor loses a lot of information, so we re-work an estimate (not a bound) that is more aware of p for rare events.

Our claim is: the necessary sample size for an event with probability at least p+a (p,a both positive and small) to appear to have probability at least p with a chance of at least 1-d is about:

-ln(d) p / a^2

The derivation is as follows:

From the Chernoff bound we can derive the probability of an event with probability at least p+a showing a frequency below p on a sample of size m is no more than:

e^{-m D(p||p+a)}



Because p and a are small we can say:




Solving for m gives our original claim:


Now this isn’t a bound (as in the previous articles) because we used estimates in different steps (and not bounds in steps). But it is a useful because of its extremely simple form.

One thing you can read off this (which you was lost in the earlier estimates) is if you have a = c*p (where c is small constant, i.e. you are trying to measure p to a relative error) then a sample size of -ln(h)/(c*p) is appropriate. That is needed sample size does go up as the square of 1/a, but for relative error sample size goes up only linearly in 1/p. In some cases this means constant-dollar sensing is the right strategy for finding good conversion rates. A 1 in 1000 event needs 10 times more samples than a 1 in 100 event, but costs a tenth per sample. So choosing between different traffic sources with different conversion rates can be done with a budget that doesn’t depend on the rates to be estimated!

We can demonstrate the estimate compared to the Chernoff bound, which is different than the estimate in that it is guaranteed to be at least a large enough sample), and compared to the exact Binomial distribution calculation in R. Lets suppose we want to know what sample size is needed to separate an event of probability 0.04 to have a 95% chance of having a measured frequency of at least 0.036.

> D <- function(x,y) {
   x*log(x/y) + (1-x)*log((1-x)/(1-y))
> estimateD <- function(lowProb,difference,errorProb) {
> print(estimateD(0.036,0.004,0.05))
## [1] 13911.43
> estimateT <- function(lowProb,difference,errorProb) {
> print(estimateT(0.036,0.004,0.05))
## [1] 6740.398
> errorProbBin <- function(lowProb,difference,size) {
> library('gtools')
> actualSize <- function(lowProb,difference,errorProb) {
   v=binsearch(function(n) {
        errorProbBin(lowProb,difference,n) - errorProb },
> print(actualSize(0.036,0.004,0.05))
## [1] 6848

What we see is the sample size needed is 6848, the Chernoff bound gives an over-estimate of 13911 and the quick rule of thumb gives 6740 (unreasonably close to the right answer).

In this writeup we have only estimated the probability of under-estimates, but we can take the odds of over-estimate as being approximately the same. The idea is: use the rule of thumb to think plan, and then use the exact Binomial probability in R to get exact (one side or two sided) experimental designs.

To leave a comment for the author, please follow the link and comment on their blog: Win-Vector Blog » R. offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...

If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Comments are closed.


Mango solutions

RStudio homepage

Zero Inflated Models and Generalized Linear Mixed Models with R

Quantide: statistical consulting and training




CRC R books series

Six Sigma Online Training

Contact us if you wish to help support R-bloggers, and place your banner here.

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)