Misuse of p-values
Misuse of p-values is common in scientific research and scientific education. p-values are often used or interpreted incorrectly; the American Statistical Association states that p-values can indicate how incompatible the data are with a specified statistical model. From a Neyman–Pearson hypothesis testing approach to statistical inferences, the data obtained by comparing the p-value to a significance level will yield one of two results: either the null hypothesis is rejected (which however does not prove that the null hypothesis is false), or the null hypothesis cannot be rejected at that significance level (which however does not prove that the null hypothesis is true). From a Fisherian statistical testing approach to statistical inferences, a low p-value means either that the null hypothesis is true and a highly improbable event has occurred or that the null hypothesis is false.
Clarifications about p-values
- The p-value is not the probability that the null hypothesis is true, or the probability that the alternative hypothesis is false. A p-value can indicate the degree of compatibility between a dataset and a particular hypothetical explanation (such as a null hypothesis). Specifically, the p-value can be taken as the prior probability of obtaining an effect that is at least as extreme as the observed effect, given that the null hypothesis is true. This should not be confused with the posterior probability that the null hypothesis is true given the observed effect (see prosecutor's fallacy). In fact, frequentist statistics does not attach probabilities to hypotheses.
- The p-value is not the probability that the observed effects were produced by random chance alone. The p-value is computed under the assumption that a certain model, usually the null hypothesis, is true. This means that the p-value is a statement about the relation of the data to that hypothesis.
- The 0.05 significance level is merely a convention. The 0.05 significance level (alpha level) is often used as the boundary between a statistically significant and a statistically non-significant p-value. However, this does not imply that there is generally a scientific reason to consider results on opposite sides of any threshold as qualitatively different.
- The p-value does not indicate the size or importance of the observed effect. A small p-value can be observed for an effect that is not meaningful or important. In fact, the larger the sample size, the smaller the minimum effect needed to produce a statistically significant p-value (see effect size). Visualizing effect sizes is a critical component of a data-analysis method called estimation statistics.
Representing probabilities of hypotheses
A frequentist approach rejects the validity of representing probabilities of hypotheses: hypotheses are true or false, not something that can be represented with a probability.
Bayesian statistics actively models the likelihood of hypotheses. The p-value does not in itself allow reasoning about the probabilities of hypotheses, which requires multiple hypotheses or a range of hypotheses, with a prior distribution of likelihoods between them, in which case Bayesian statistics could be used. There, one uses a likelihood function for all possible values of the prior instead of the p-value for a single null hypothesis. The p-value describes a property of data when compared to a specific null hypothesis; it is not a property of the hypothesis itself. For the same reason, p-values do not give the probability that the data were produced by random chance alone.
Multiple comparisons problem
The multiple comparisons problem occurs when one considers a set of statistical inferences simultaneously or infers a subset of parameters selected based on the observed values. It is also known as the look-elsewhere effect. Errors in inference, including confidence intervals that fail to include their corresponding population parameters or hypothesis tests that incorrectly reject the null hypothesis, are more likely to occur when one considers the set as a whole. Several statistical techniques have been developed to prevent this from happening, allowing significance levels for single and multiple comparisons to be directly compared. These techniques generally require a higher significance threshold for individual comparisons, so as to compensate for the number of inferences being made.
The webcomic xkcd satirized misunderstandings of p-values by portraying scientists investigating the claim that eating jellybeans caused acne. After failing to find a significant (p < 0.05) correlation between eating jellybeans and acne, the scientists investigate 20 different colors of jellybeans individually, without adjusting for multiple comparisons. They find one color (green) nominally associated with acne (p < 0.05). The results are then reported by a newspaper as indicating that green jellybeans are linked to acne at a 95% confidence level—as if green were the only color tested. In fact, if 20 independent tests are conducted at the 0.05 significance level and all null hypotheses are true, there is a 64.2% chance of obtaining at least one false positive and the expected number of false positives is 1 (i.e. 0.05 × 20).
In general, the family-wise error rate (FWER)—the probability of obtaining at least one false positive—increases with the number of tests performed. The FWER when all null hypotheses are true for m independent tests, each conducted at significance level α, is:
- Wasserstein RL, Lazar NA (2016). "The ASA's statement on p-values: context, process, and purpose" (PDF). The American Statistician. 70 (2): 129–133. doi:10.1080/00031305.2016.1154108. S2CID 124084622.
- Sterne JA, Davey Smith G (January 2001). "Sifting the evidence-what's wrong with significance tests?". BMJ. 322 (7280): 226–31. doi:10.1136/bmj.322.7280.226. PMC 1119478. PMID 11159626.
- Schervish MJ (1996). "P values: What they are and what they are not". The American Statistician. 50 (3): 203–206. doi:10.2307/2684655. JSTOR 2684655.
- Rafi Z, Greenland S (September 2020). "Semantic and cognitive tools to aid statistical science: replace confidence and significance by compatibility and surprise". BMC Medical Research Methodology. 20 (1): 244. doi:10.1186/s12874-020-01105-9. PMC 7528258. PMID 32998683.
- Amrhein V, Korner-Nievergelt F, Roth T (2017). "p > 0.05: significance thresholds and the crisis of unreplicable research". PeerJ. 5: e3544. doi:10.7717/peerj.3544. PMC 5502092. PMID 28698825.
- Chaput, Brigitte; Girard, Jean-Claude; Henry, Michel (2011). "Frequentist Approach: Modelling and Simulation in Statistics and Probability Teaching". Teaching Statistics in School Mathematics-Challenges for Teaching and Teacher Education. New ICMI Study Series. 14. pp. 85–95. doi:10.1007/978-94-007-1131-0_12. ISBN 978-94-007-1130-3.
- Miller RG (1981). Simultaneous Statistical Inference (2nd ed.). New York: Springer Verlag. ISBN 978-0-387-90548-8.
- Benjamini Y (December 2010). "Simultaneous and selective inference: Current successes and future challenges". Biometrical Journal. Biometrische Zeitschrift. 52 (6): 708–21. doi:10.1002/bimj.200900299. PMID 21154895.
- Munroe R (6 April 2011). "Significant". xkcd. Retrieved 2016-02-22.
- Colquhoun D (November 2014). "An investigation of the false discovery rate and the misinterpretation of p-values". Royal Society Open Science. 1 (3): 140216. arXiv:1407.5296. Bibcode:2014RSOS....140216C. doi:10.1098/rsos.140216. PMC 4448847. PMID 26064558.
- Reinhart A (2015). Statistics Done Wrong: The Woefully Complete Guide. No Starch Press. pp. 47–48. ISBN 978-1-59327-620-1.
- Barsalou M (2 June 2014). "Hypothesis testing and p values". Minitab blog. Retrieved 2016-02-22.
- Wasserstein, Ronald L.; Schirm, Allen L.; Lazar, Nicole A. (2019-03-20). "Moving to a World Beyond "p < 0.05"". The American Statistician. Informa UK Limited. 73 (sup1): 1–19. doi:10.1080/00031305.2019.1583913. ISSN 0003-1305.
- Ioannidis, John P. A. (29 March 2019). "What Have We (Not) Learnt from Millions of Scientific Papers with P Values?". The American Statistician. 73 (sup1): 20–25. doi:10.1080/00031305.2018.1447512. ISSN 0003-1305.
- Moran JL, Solomon PJ (June 2004). "A farewell to P-values?" (PDF). Critical Care and Resuscitation. 6 (2): 130–7. PMID 16566700.
- Lew MJ (July 2012). "Bad statistical practice in pharmacology (and other basic biomedical disciplines): you probably don't know P". British Journal of Pharmacology. 166 (5): 1559–67. doi:10.1111/j.1476-5381.2012.01931.x. PMC 3419900. PMID 22394284.
- Nuzzo R (February 2014). "Scientific method: statistical errors". Nature. 506 (7487): 150–2. Bibcode:2014Natur.506..150N. doi:10.1038/506150a. PMID 24522584.